Scribd Logo
Upload

Welcome to Scribd!

  • FINN 222 - Introduction To Mathematics of Finance Lab Assignment # 1 Deadline: Sunday, 29 April 2018

    Uploaded by

    Arooj Sajjad
    15 views1 page
    This document provides the lab assignment instructions for the FINN 222 course. Students are asked to pick a stock, calculate returns and find the mean and standard deviation. They must then generate two Brownian motions for one year using different starting prices and current price. Finally, students must price a call and put option with a variable strike price for both Brownian motions. The assignment must be submitted as an excel file by Sunday, April 29th, 2018 at 11:55 PM.

    Original Description:

    Finn 222 Lab assignment

    Original Title

    Upload 2

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document provides the lab assignment instructions for the FINN 222 course. Students are asked to pick a stock, calculate returns and find the mean and standard deviation. They must then generate two Brownian motions for one year using different starting prices and current price. Finally, students must price a call and put option with a variable strike price for both Brownian motions. The assignment must be submitted as an excel file by Sunday, April 29th, 2018 at 11:55 PM.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    15 views1 page

    FINN 222 - Introduction To Mathematics of Finance Lab Assignment # 1 Deadline: Sunday, 29 April 2018

    Uploaded by

    Arooj Sajjad
    This document provides the lab assignment instructions for the FINN 222 course. Students are asked to pick a stock, calculate returns and find the mean and standard deviation. They must then generate two Brownian motions for one year using different starting prices and current price. Finally, students must price a call and put option with a variable strike price for both Brownian motions. The assignment must be submitted as an excel file by Sunday, April 29th, 2018 at 11:55 PM.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    FINN 222 – Introduction to Mathematics of Finance

    Lab Assignment # 1
    Deadline: Sunday, 29th April 2018

    Prompt:

     Pick a data set of a stock

     Calculate returns

     Find Mean (µ) and S.D (σ) of returns

     Using µ, σ and S0 :

    o Generate Brownian Motions for 1 year using the S0 from one year
    before and S0 (current price) [2 different BMs with different S0]
    (10+10 Marks)
    o Price a call option and a put option with changeable strike price (K) for
    both the BMs you generated before.
    (20 Marks)

    Submission Guidelines:
    Attach your complete excel file and mail your results to Zaid Abid (18100129@lums.edu.pk).
    No submissions will be accepted after the deadline.

    Deadline:
    Sunday, 29th April 2018 11:55 PM

    You might also like