Use the numerical method of the trinomial tree (or the explicit finite

May 19, 2023

Q.13 Use the numerical method of the trinomial tree (or the explicit finite difference method) for computing the value an American put knowing the following information: S = 92; X = 96; RF = 0, 05; Sigma = 0.25; T = 5/12; b = 0.11; n = 900.

Q.14 Use Q.13 informations for the calculation of an American put using the method of Crank-Nicholson. Compare your results. Q

.15 a) Use the Monte Carlo method for the calculation of an Asian put knowing the following information: S = 80; K = 86; RF = 0.05; T = 1; Sigma = 0.20; nsim = 115; n = 100; b) Multi-assets options (exotic options). Find the price of an option that pays the maxium of 2 spreads (spread option) assuming: S1=120, S2=90, X=20, S3=95, rho12=0.6, rho13=0.6, rho23=0.7, T=3/12, rf=0.03, b1=0.02, b2=0.02, b3=0.02, v1=0.3,v2=0.3,v3=0.4, nsim=2000 (Hint: see Racicot, Notes on Monte Carlo, or Haug, 2007).

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