M=5000; 0umber of trajectories of G. Brownian motion
N=100;%Number of steps in one trajectory
X0=100; %initial point
T=1; %Final Time in years in trajectory
mu=.03; %Mean
sigma=.18; NULLolatility
dt=T/N; %time step
Sqrtdt=sqrt(dt);
%X(j,:) j-th trajector
Introduction to the Mathematics of Finance. HOMEWORK 3. Due November 6, 2013
Please write a pledge that homework solutions represent your own work and that you did not copy solutions from
the work of other students.
1. Suppose that the price Xt of Euro in
Introduction to the Mathematics of Finance. HOMEWORK 2. Due October 14, 2013
Please write a pledge that homework solutions represent your own work and that you did not copy solutions from
the work of other students.
1.(10pt) European call and put on a sto
Mont e Carlo Simulat ion Of A St andard Brownian Mot ion
RAND()
#DIV/0!
Uniform Random Variable Between 0 and 1
NORMSINV(Rand()
NORMSINV(X)
#DIV/0!
Normal Random Variable with Mean 0 StDev 1
Function Transforming X on [0, 1] to Y on [-Infinity, + Infinity
%This script plots graph of BlackScholes call as a function
%of stock price
%It uses function BlackScholesStocks('c',X,Strike,Rate,Volatility,Time);
%That function is defined in file BlackScholesStocks.m
clear all
%parameters
dx=0.1; tep to evaluate optio