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Second Matlab Assign

Students have been divided into groups of three to price an exotic option using numerical techniques in MatLab for a 25% final assignment. Each group must model the underlying asset(s) using geometric Brownian motion with time-varying volatility and may use Monte Carlo simulation with antithetic variates and control variates or quasi-random number generation. Groups must submit a MatLab code, a 1000-word report detailing the steps taken and any difficulties, and a 10-minute presentation; with approximately 15% of the grade for the code and 10% each for the report and presentation.

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154 views

Second Matlab Assign

Students have been divided into groups of three to price an exotic option using numerical techniques in MatLab for a 25% final assignment. Each group must model the underlying asset(s) using geometric Brownian motion with time-varying volatility and may use Monte Carlo simulation with antithetic variates and control variates or quasi-random number generation. Groups must submit a MatLab code, a 1000-word report detailing the steps taken and any difficulties, and a 10-minute presentation; with approximately 15% of the grade for the code and 10% each for the report and presentation.

Uploaded by

fmurphy
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
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All Groups

Your final assignment will be for 25% of your overall grade. You have been divided
into 7 groups of three. Each group is asked to price an exotic option using an
appropriate numerical technique implemented in MatLab.

The underlying asset(s) should follow a GBM process and there should be time-
varying volatility. Where Monte Carlo methods are used, then antithetic variates and
control variates may be used. Quasi-number generation may also be used.

In addition to the MatLab code, you will be asked to submit a report not exceeding
1,000 words in length. The report should detail the steps taken to implement the
calculator and any difficulties encountered. The report should note any efficiencies
achieved by appropriate used of standard errors. You will also be asked to give a
10minute presentation on your findings.

The MatLab code and report will be submitted by email no later than Friday
November 20th (week 11) at 5PM. The presentation will take place on Wednesday
November 25th (week 12).

Grading Guidelines
Approximately 15% of the grade will be awarded for the code and 10% for the report
& presentation.

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