Calculate the value of a 1-year European call on ABC Inc. with strike F. November 16, 2020 Read More »
calculate the value of a European call with a strike price of 100 and a maturity of one year. November 16, 2020 Read More »
Calculate the price of a 5-year zero-coupon bond at each node of the tree. November 16, 2020 Read More »
Why do you think p is called the ‘risk-neutral probability’ of S going up? November 16, 2020 Read More »
Verify that, when substituting the volatility parameter with the closed-form formula for yields November 16, 2020 Read More »
build a pricer which computes the value of European calls and puts using the closed-form formulas November 16, 2020 Read More »
build a pricer which computes the value of the following derivative payoffs using the Monte-Carlo method with 5,000 simulations. November 16, 2020 Read More »
Compare this rule of thumb to the value of a 1-year at-the-money-forward call on an underlying stock with spot price 100 and volatility 40%, assuming no dividends and a 5% interest rate. November 16, 2020 Read More »