Trajectories to theoretical model price

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Reference no: EM132024945

Create a spreadsheet modeling trajectories of geometric Brownian motion starting at 100 with growth rate 2 percent (it is also risk-free rate) and volatility 28 percent.

Make a spreadsheet that calculates European call maturing in 1 year with strike 100 on a non-dividend paying stock using Monte-Carlo method and using 20,000 trajectories with 250 steps per year in each trajectory.

Compare Monte-Carlo price with 20,000 trajectories to a theoretical model price. Calculate with 50,000 trajectories. Compare Monte-Carlo price with 50,000 trajectories to theoretical model price.

PLEASE SHOW THE SPREADSHEET AND CELL FORMULA IN FULL

Reference no: EM132024945

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