tablehw4

tablehw4 - TABLE: STATISTICAL ERROR FOR IMPLICIT METHOD M...

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TABLE: OPTION PRICE M 10^3 10^4 10^5 10^6 15.57 15.15 15.05 14.92 10^2 14.61 14.14 14.16 14.02 21.16 19.57 19.21 19.05 15.45 15.21 15.29 N 10^3 14.44 13.92 14.01 15.54 15.37 15.45 13.83 15.68 10^4 12.96 14.37 13.84 15.70 IMPLICIT METHOD GEOMETRIC BROWNIAN MOTION EXPLICIT METHOD N: Number of time steps M: Number of replications
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Unformatted text preview: TABLE: STATISTICAL ERROR FOR IMPLICIT METHOD M 10^3 10^4 10^5 10^6 10^2 1.338 0.420 0.131 0.041 N 10^3 1.364 0.433 0.135 10^4 1.175 0.435 Black-Scholes option price with constant volatility : 14.0019...
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This note was uploaded on 12/14/2011 for the course MAD 5932 taught by Professor Gallivan during the Fall '06 term at FSU.

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