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What does this option approximately become when B is much much, much larger than S0: Financial Computing Course Work, UOL, UK
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| University | University of Liverpool (UOL) |
|---|---|
| Subject | Financial Computing |
- Please produce about 10 selected numerical scenarios to illustrate the impact of varying the volatility. Does the resulting profile make sense to you? Why? Please make sure you’ve used a separate function that takes charge of this sensitivity analysis task. Please explain in your Report any precaution(s) that you took to minimize the noise in your sensitivity analysis.
- What does this option approximately become when B is much much, much larger than S0?
- What does this option become when B < S0?
- Use your program to derive the probability that the payoff of the above option turns out to be > 5$, for the following numerical example: The underlying is a stock that pays no dividends, its spot S0 = 100$, its volatility = 20%, time to maturity = 2 years, discount rate =2%, B=150$.
- Finally, can you think of an approach/trick in implementing mainPricer, that may shorten the computational/simulation effort involved in the pricing (compared eg to a brute-force approach)? But is there a downside to this (pricing) efficient approach when applied to sensitivity analysis?
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