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.

May 19, 2023

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 of an American put using the method of Crank-Nicholson. Compare your results. Q

.15 a) Use the Monte Carlo method for the calculation of an Asian put knowing the following information: S = 80; K = 86; RF = 0.05; T = 1; Sigma = 0.20; nsim = 115; n = 100; b) Multi-assets options (exotic options). Find the price of an option that pays the maxium of 2 spreads (spread option) assuming: S1=120, S2=90, X=20, S3=95, rho12=0.6, rho13=0.6, rho23=0.7, T=3/12, rf=0.03, b1=0.02, b2=0.02, b3=0.02, v1=0.3,v2=0.3,v3=0.4, nsim=2000 (Hint: see Racicot, Notes on Monte Carlo, or Haug, 2007).

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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.

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