Timeline for Black scholes model for down and out European call option using Monte Carlo
Current License: CC BY-SA 3.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jul 14, 2016 at 16:43 | vote | accept | senorita.xi | ||
| Jul 12, 2016 at 21:34 | answer | added | zyy2016 | timeline score: 2 | |
| Jul 12, 2016 at 11:40 | answer | added | Quantuple | timeline score: 1 | |
| Jul 12, 2016 at 10:39 | comment | added | senorita.xi | Behrouz Maleki, when m=100, n=1000, price=2.6748e-04 @Quantuple (1) price =0.0037 (2) Nothing happens | |
| Jul 12, 2016 at 9:14 | comment | added | Quantuple | You are pricing a down-and-out call with a barrier is below the strike: i.e. the option gets knocked-out when it is OTM... (1) What happens when you use for instance: $K=50$, $S_0=75$ and $B=60$? (2) What happens when you plot the option prices for different $S_0 \in [60, 80]$ with the same strike and barrier levels (3) The usual method to obtain Greeks is "bump & revalue", i.e. approximating Greeks by finite differences. In my experience, such a Naive approach is not always recommendable though, I'd rather try a "pathwise Greeks" approach. | |
| Jul 12, 2016 at 9:07 | comment | added | user16651 | Set $m=100$ and $n=10000$ | |
| Jul 12, 2016 at 8:34 | review | First posts | |||
| Jul 13, 2016 at 7:18 | |||||
| Jul 12, 2016 at 8:30 | history | asked | senorita.xi | CC BY-SA 3.0 |