MATH 565: Monte Carlo Methods in Finance

b。 可以不超过三名学生的小组形式进行小组作业。
C。 单独的工作必须自己完成。
d。 您提交的内容应代表您自己的工作。 如果您使用其他来源，请引用它们。
e。 您可以不加引用地使用该类中的示例代码。
F。 请在作业中加入小组成员的姓名，然后使用提交给Blackboard

G。 必须使用以下方法将MATLAB代码提交给Blackboard。 Math565 +

8.考虑以下对选项。 请说明哪个价格更高，为什么？

Option A Option B
European put option with strike price \$100 European put option with strike price \$90
European put option with an initial stock European put option with an initial stock
of price \$100 of price \$90
European put option where the initial stock A barrier down-and-out put option with a
price is \$50, and the strike price is \$40 barrier of \$30.
9. For these next problems use the GAIL software and consider a stock with an initial price of
\$30, an interest rate of 1%, and a volatility of 40%, being monitored weekly for 6 weeks.
a) What is the price of an Asian arithmetic mean call option to the nearest \$0.1 if the
strike price is \$30?
b) What savings in number of paths and time do you find, if any, if you use a European
call option as a control variate?
c) What savings in number of paths and time do you find, if any, if you use antithetic
variates?

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