H1. Compute the value of an European Call option at time 0 for the following parameters: strike, K = 120, maturity 1 year, σ = 0.15, S0 = 120 and interest rate, r = 0.02: (a) by implementing, using Python, R, C++ or Matlab, a binomial model where n = 100, 1000, or 10000. For each value of n compute the error (difference between option value obtained using the B-S model and the one from the binomial model). Compute ∆0.

Computer Networking: A Top-Down Approach (7th Edition)
7th Edition
ISBN:9780133594140
Author:James Kurose, Keith Ross
Publisher:James Kurose, Keith Ross
Chapter1: Computer Networks And The Internet
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H1. Compute the value of an European Call option at time 0 for the following parameters: strike, K = 120, maturity 1 year, σ = 0.15, S0 = 120 and interest rate, r = 0.02: (a) by implementing, using Python, R, C++ or Matlab, a binomial model where n = 100, 1000, or 10000. For each value of n compute the error (difference between option value obtained using the B-S model and the one from the binomial model). Compute ∆0.
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