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Unformatted text preview: d) 1 step, t = 1 month e) 12 step binomial lattice, N = 12 f) Expiry, T = 1 year g) Riskless Rate of Return, r = 5% h) Non-Traditional Call Option Payoff = (max(S t-K, 0)) 2 Your inputs to your MATLAB function should be S , K, , t, N, T and r. The return outputs of the function should be the price of the call, c, and an indication of when early exercise is optimal....
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This note was uploaded on 04/20/2011 for the course MIE 376 taught by Professor Daniel during the Spring '11 term at University of Toronto- Toronto.
- Spring '11