fm3_problems23 - #MACRO 3,000#MACRO 3,500#MACRO 4,000#MACRO...

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To run the macro: [Ctrl] + b To see the numbers formatted with only 4 decimal places, run [Ctrl]+c
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To run macro: [Ctrl] +e Initial price 30 Up 1.3 Down 0.9
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To run macro: [Ctrl] + f Initial price 30 Up 1.3 Down 0.9
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MONTE CARLO PRICING OF PLAIN VANILLA CALLS 50 X, exercise price 44 r, interest rate 10% T, time 0.8 13% 30% n, divisions of unit time 150 <-- Try playing around with this Runs 200 <-- This is what's altered in the data table VanillaCall ### #MACRO? BS call ### #MACRO? Data table: the effect of runs on the MC Vanilla call value Black-Scholes Runs ### #MACRO? 100 ### #MACRO? 500 ### #MACRO? 1,000 ### #MACRO? 1,500 ### #MACRO? 2,000 ### #MACRO? 2,500
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Unformatted text preview: ### #MACRO? 3,000 ### #MACRO? 3,500 ### #MACRO? 4,000 ### #MACRO? 4,500 ### #MACRO? 5,000 ### #MACRO? 5,500 ### #MACRO? 6,000 ### #MACRO? 6,500 ### #MACRO? S , current stock price μ , mean stock return σ , sigma--standard deviation of stock return Monte Carlo 0.00 2.00 4.00 6.00 8.00 10.00 12.00 A B C D E 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 1,000 2,000 3,000 4,000 5,000 6,000 7,000 Column B Column C F G H I J K L M 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37...
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This note was uploaded on 01/23/2011 for the course FGB 780 taught by Professor Edwardchang during the Spring '09 term at Missouri State University-Springfield.

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fm3_problems23 - #MACRO 3,000#MACRO 3,500#MACRO 4,000#MACRO...

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