Monte-Carlo pricer
In a spreadsheet, build a pricer which computes the value of the following derivative payoffs using the Monte-Carlo method with 5,000 simulations. The user must be able to input the following parameters: forward price F, strike K, maturity T, risk-free rate r, and volatility σ. Then, with a sensible choice of parameters, produce the graph of the value and discounted “forward-intrinsic” value of the derivative as a function of the forward price F.
(a) ‘Ballena call’: ;
(b) ‘Kick-out put’: otherwise;
(c) ‘Call spread’: long call struck at 100, short call struck at 130.