Database System Concepts
Database System Concepts
7th Edition
ISBN: 9780078022159
Author: Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
Publisher: McGraw-Hill Education
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Use Monte Carlo simulations with N = 100, 000 trajectories to price the follow- ing option: European call option on the stock X₁ with dX = 0.05X/dt +0.25XdB₁ with Xo = 105, strike K = 100, maturity one year T = 1, risk-free rate r = 0.05 and volatility = 0.25.
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Transcribed Image Text:Use Monte Carlo simulations with N = 100, 000 trajectories to price the follow- ing option: European call option on the stock X₁ with dX = 0.05X/dt +0.25XdB₁ with Xo = 105, strike K = 100, maturity one year T = 1, risk-free rate r = 0.05 and volatility = 0.25.
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