Description: mobile ip 在linux下的一种实现，在2.4内核下可以通过编译。-mobile ip in linux under a realization in the 2.4 kernel can be compiled. Platform: |
Size: 551936 |
Author:pei |
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Description: We assume that the asset S(t) follows the stochastic differential equation (Geometric Brownian Motion) we have studied in Chapter 8 under the risk-neutral probability:
dS(t) = r S(t)dt + σ S(t)d 4W(t), where 4W is the Brownian motion under the risk-neutral probability.We will simulate 10 batches of 5000 paths each (NbTraj = 5000) to price a European put as well as a call.
The option value corresponds to the average value of its discounted future payoffs under the risk-neutral probability. We will therefore reproduce the dynamics of future prices of the underlying asset using computers, and calculate next the future payoffs to be obtained by the option holder Platform: |
Size: 396288 |
Author:smartwm3 |
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