本次英国作业案例是关于Excel金融期权相关的金融代写assignment
1. Assume that the stock price is of the form S(t) = S(0)exp(µt − 12σ2t +σW(t)). Generate a sequence of daily prices over two months. Then given this sample try to recover the volatility coefficient σ.
2. Assume A(0) = 1. Consider the following strategy:
x(t) =0 for t ∈ [0, 12T)
x(t)=1 for t ∈ [12T,T]
Find y(t) so that (x(t),y(t)) is self-financing. Is this an admissible strategy? Is this a martingale strategy?
3. Prove that it is impossible to find a self-financing strategy (x(t),y(t)) such that V(x,y)(t) = tS(t) where S(t) = S(0)exp(µt − 12σ2t + σW(t)), A(t) = ert. 4. Assume that two stock prices satisfy the
equations
dS1 = µ1S1dt + σ1S1dW dS2 = µ2S2dt + σ2S2dW
Discuss the problem of finding a single martingale probability for both processes.
Namely
a) Find a condition guaranteeing existence of a martingale measure, common
for both stocks.
b) If this condition is violated, try to construct an arbitrage strategy. Hint: try do design a self-financing strategy with zero noise term and return beating the risk free rate.
You will need to generalise the notion of self-financing strategy to involve two stocks, and to formulate and prove, the characterisation using the discounted values, together with the formula for the money market account position.
5. Assume the S(t) is the stock price in the Black-Scholes model with µ = 10%, σ = 20%; assume r = 5% and let T = 1, K = 100.
Find the price of a digital option with strike price K (the payoff is H = 1{S(T)≥K}) using the general pricing formula: H(0) = e−rTEQ(H), by means of the Monte-Carlo simulation. That is, simulate 1000 prices S(T) in Excel using NORMSINV(RAND()) as the generator for a standard normal random variable X (arrange the values of X in the column A1-A1000). Then use the average of the payoff as an approximation to the expectation.
Find the theoretical price of this option and compare with the approxima-tion.
Extend your approximation to 10,000 samples (optional).
EasyDue™ 支持PayPal, AliPay, WechatPay, Taobao等各种付款方式!
E-mail: easydue@outlook.com 微信:easydue
EasyDue™是一个服务全球中国留学生的专业代写公司
专注提供稳定可靠的北美、澳洲、英国代写服务
专注提供CS、统计、金融、经济、数学等覆盖100+专业的作业代写服务