Computer Networking: A Top-Down Approach (7th Edition)
Computer Networking: A Top-Down Approach (7th Edition)
7th Edition
ISBN: 9780133594140
Author: James Kurose, Keith Ross
Publisher: PEARSON
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Write a C++ program with an EuropeanOption class (with fixed strike price K). It should hold information such as option type (call or put), spot price (of the underlying asset), strike price, interest rate, volatility (of the underlying asset) and time to maturity. Constructors don’t accept illegal values. Implement a getPrice() function which gives the price of the option using path independent simulation of the stock prices. Using the following dynamics for the stock price with the constant values: dSt= rStdt + σStdWt S0= 100 K = 105 r = 0.02 σ = 0.05 T = 10. Add more features to the class it should contain four member functions to compute the numerical Greeks (getDelta() for spot price, getRho() for interest rate, getVega() for volatility, and getTheta() for time to maturity) of a given option.

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