If I have a portfolio consisting of
1-one stock of unit price equal to S,
2-one 9% coupon American bond with 20 years to maturity and a par value of $1000,
3-and one European call option on the stock of unit price C who matures in 3 months and the strike price of the option \$200
How to calculate simulated portfolio value over the next N days, from these inputs:
Date (t) St ($) rt (required yield) σt (volatility) int. (three month rate) Day 1 201 12 % 23 % 0.9 % Day 2 203 12.3 % 20 % 0.6 % ... Day N ...