Question
Let St be a Geometric Brownian Motion process: St = S0e^( σWt + (r - σ²/2)t)
where r = 0.04 , σ = 0.25 , So = 90, Wt is a Wiener process.
a) Estimate (by Monte Carlo simulation) the price c of a European Call option on the stock. Use T = 2, K = $100
b) Compute the price c of a European Call option on the stock using the Black-Scholes formula.
c) Compare results in a) and b).
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r = 0.04;
sig = 0.25;
S0 = 90;
T = 2;
nPeriods = 1000;    % number of points per single trajectory
dt = T/nPeriods;    % time interval for single trajectory
nTrials = 100000;   % total number of generated trajectories
K = 100;

% creation of the Geometric Brownian motion model
S = gbm(r, sig, 'StartState', S0);
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        4.82mstwenty4_siteHomeworkLibraryController.php#97
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        • 26. app/Http/Controllers/HomeworkLibraryController.php:105
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      • select * from `subjects` where `subjects`.`id` in (47)
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        Backtrace
        • 19. app/Repositories/HomeworkLibraryRepository.php:30
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        1.16mstwenty4_siteHomeworkLibrary.php#260
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        Backtrace
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