Terminé

Develop matlab function

Develop matlab function as follows:

Using the Black-Scholes model to compute option contract value, develop a function that implements a monte carlo simulation to compute the probability of an option contract (put or call) reaching a value X before expiration. The value X is arbitrary and may be greater or less than the starting value of the option contract.

I don't want to reinvent anything that already exists. Must use the existing matlab functions when appropriate including from the financial toolbox including the black-scholes functions such as:

[Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility, Yield)

see [url removed, login to view]

There are other existing matlab functions which are also likely to be useful.

The function that I have not found and am asking for help to develop is this:

P = calculate_prob_of_X(O, X, vvol, n, t) such that P is the probability that option contract O will have the value X at any time before expiration.

O can be either a call or a put. .

X is the target option contract value

The simulation should vary volatility over time based on the input parameter vvol (volatility of volatility). If vvol is zero, the starting volatility should be held constant.

simulation should evaluate n price paths

option should be calculated as either American or European depending on value of style parameter.

This article may also be helpful to understand the context: [url removed, login to view]

Again, I'm not interested in reinventing things that already exist in standard matlab libraries. So, no need to develop a method of computing black-scholes option values. The effort here should be to leverage existing libraries to implement the specific simulation represented by the function above.

Compétences : Matlab and Mathematica

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Concernant l'employeur :
( 3 commentaires ) San Francisco, United States

Nº du projet : #7170224

Décerné à:

apoplavsky

A university researcher who holds PhD degree and has advanced knowledge in computer simulations coupled with work experience in financial modelling (work in private investment company, bank, projects which involved Bla Plus

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7 freelance font une offre moyenne de $553 pour ce travail

Zhats

Hello. I'm PhD in mathematics with the best profile in signal processing here. I have finished all my project with the best rates. Experienced in financial markets, financial analysis, Black-Scholes and many more. I us Plus

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VolKa

Hi. I think I will be able to do this project for you. Here are some examples of already done projects: Black-Scholes https://www.freelancer.com/jobs/Excel-Matlab-Mathematica/Black-scholes-binomial-tree-trinomial/ . Plus

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OriolAM

Hey, I am interested in the project. I hold a MSc in Finance, I am pretty skilled in Matlab and also well familiar with Monte-Carlo methods and options pricing. Cheers.

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itachi23

A proposal has not yet been provided

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SharjeelSohail

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zhkhan89

PhD qualified university professor having more than eight years of experience in similar matlab projects, ensuring excellent quality of work whilst meeting the deadline at all times. Confidentiality of work and the rel Plus

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