Use the numerical method of the trinomial tree (or the explicit finite
Q.13 Use the numerical method of the trinomial tree (or the explicit finite difference method) for computing the value an American put knowing the following information: S = 92; X = 96; RF = 0, 05; Sigma = 0.25; T = 5/12; b = 0.11; n = 900. Q.14 Use Q.13 informations for the calculation […]
Use implicit trinomial tree to perform the calculation of a put
Q.16 Redo the calculations of Q.15 with Sobol method (optional). Q.17 Use implicit trinomial tree to perform the calculation of a put knowing the following information: S = 95; X = 106; RF = 0, 05; Sigma = 0.25; T = 5/12; b = 0.12; n = 200. Q.19 Using the Monte Carlo Least Squares […]
