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Econ 3315

Final Project

2022

Presentation

1. Each group should prepare a slidePPTsend to me prior to the presentation. Each group should present about 30 mins and each group member should present about 10 mins. Each group should think about the potential questions that students/instructor may ask.

Project (Due on Dec 9)

Reference Note: HuskyCT/Course Content/Lab/ Monte Carlo Pricing in Python

1. Each student should finish the project independently.  Each student should submit a Python file and a word/PDF to describe what you do and analyze the result you get.

2. The project contains two parts: the first one is to use Black-Scholes-Merton model to calculate the call and put options with 5 different strike prices (K) ( K = S0 , K = 80%S0 , K = 90%S0 , K = 110%S0 , K = 120%S0  ) .  For the underlying asset/stock, you could choose any stock you like and check the current price (S0 ).  As for other parameters, like volatility of asset price, option maturity and risk free interest rate, you could specify them by yourself.

3. The second part is to use Monte Carlo simulation method to calculate the price of call and put options with 5 different strike prices (K) ( K = S0 , K = 80%S0 , K = 90%S0 , K = 110%S0 , K = 120%S0  ).  For the underlying asset/stock, you could choose any stock you like and check the current price (S0 ). As for other parameters, like number of path, drift and volatility of asset price, option maturity and risk free interest rate, you could specify them by yourself.

4. For your results, you’d better analysis the relationship between call/put price with K, and compare the price of call/put based on these two method and think about which method is better?