ORIE 6580 Simulation Homework 1
Due in class Monday September 20, 2010
1. On blackboard together with this homework you will nd a Matlab le containing 4 sequences
of binary digits, each containing 300 digits. Two of them were generated using Matlabs
rand(

ORIE 6580 Simulation Homework 2
Updated 9/29
Due in class Monday October 4, 2010
1. Suppose that you are able to generate the event times in a nonhomogeneous Poisson process
with arrival rate function (t) : t 0). Suggest a method for using these event tim

ORIE 6580 Simulation Homework 3
Updated 10/14
Due in class Monday October 18, 2010
1. Produce condence intervals for the pth quantile of a N (0, 1) random variable where p =
0.75, 0.95, 0.99. Use bootstrapping, and comment on your results.
2. Suppose that

1. Suppose (S (t) : 0 t T ) is modeled by geometric Brownian motion, and we wish to
price a discretely-monitored Asian option, monitored at times T /30, 2T /30, . . . , T . Use as
parameters S (0) = 50, = 0.3, K = 50, r = 0.05, T = 0.25.
(a) Use standard