代做Exam 2 (Module 3) 2024调试C/C++语言
- 首页 >> CSExam 2 (Module 3)
January 2024
Instructions: This is a mini project on the use of the Monte Carlo scheme to price exotic options to be completed using Python. C++ is also allowed, but Excel/VBA is not permitted. As this is the half way point of the CQF, this assessment is designed for delegates to show independence and maturity in interpretation of a slightly open ended problem. It will test
finding and understanding the relevant lectures, Python labs and tutorials in module 3; as well as the Python primer.
ability to experiment and demonstrate initiative in mathematical and numerical methods.
willingness to work outside narrow instruction that are typical of maths based tests/exams.
Task
Use the expected value of the discounted payoff under the risk-neutral density Q
for the appropriate form. of payoff, to consider Asian and lookback options.
Use the Euler-Maruyama (only) scheme for initially simulating the underlying stock price. As an initial example you may use the following set of sample data
Then vary the data to see the affect on the option price. Your completed assignment should centre on a report to include:
Mark Scheme
Outline of the finance problem and numerical procedure used 20%
Results - appropriate tables and comparisons 35%
Any interesting observations and problems encountered 25%
Conclusion 15%
References 5%
Outline of the finance problem and numerical procedure used.
Results - appropriate tables and comparisons.
Any interesting observations and problems encountered.
Conclusion and references
For a Python Jupyter Notebook, a detailed notebook will become the complete report (write-up, code, results).