Project translated automatically. Log in or register, to view the original The first part: Let there be European Call and Put options with the following parameters: - the price of the corresponding stock at the moment S = $100, The price of the option E = $100, - time of execution of the option T = 1 year, The interest rate of the risk-free asset r=0.05, Volatility of the sigma response = 0.2. Develop a program that: 1) calculates the value of the European Call and Put options at the present time t=0 according to the Black-Shoulse formulas; 2) calculates the value of the European Call and Put options at the current time t=0 using the Monte Carlo method.Compare the results.The second part: Let there be European and American Call and Put options with the following parameters: - the price of the corresponding stock at the moment S = $100, The price of the option E = $100, - time of execution of the option T = 1 year, The interest rate of the risk-free asset r=0.05, Volatility of the sigma response = 0.2. Develop a program that calculates the value of European and American Call and Put options at the current time time t=0 using the binary method.For the European Call and Put options, compare the results with the results obtained by the Black-Shoulse formulas.The program can be written in any language.Better either C++ or C sharp or Python.The program should have a simple UI, if it is written in Python it is not necessarily.The code should be well documented, namely the logic of the program’s work, its implementation, the methods of calculating the cost of the European Call and Put options.

Proposals 2 Discussions 5

Anton T.

Winning proposal

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Budget: 600 UAH Deadline: 1 day

I read the theory here, something lacks, but with the help of Google I can write two programs on C++ or Python (preferably). There will be outlets with comments. I will do it in a few hours.

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Anton T. 13 December 2022

А теория есть?

Vladislav V. 13 December 2022

Напишите в лс по теории

Oleg Petrov

13 December 2022

прикрепил теорию

Anton T. 14 December 2022

По той теории первую задачу можно как-то решить, а вот для второй там сведений не хватает + нет четкого различия между американским и европейским опционами (да, там написано, что европейский и американский call-опционы равны, это ладно, но американский put-опцион обычно больше европейского, но вот в формулах это нигде не видно). Или нужно посчитать только как для европейских?

Anton T. 14 December 2022

А, ошибся, есть различия для второй задачи между европейским и американским опционами. Значит, только теории не хватает

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Oleg Petrov
Poltava, Ukraine

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