A bank has written a call option on onestock and a put option on another stock. For the first option the stock priceis 50, the strike price is 51, the volatility is 28% per annum, and the time tomaturity is 9 months. For the second option the stock price is 20, the strikeprice is 19, and the volatility is 25% per annum, and the time to maturity is 1year. Neither stock pays a dividend, the risk-free rate is 6% per annum, andthe correlation between stock price returns is 0.4. Using C/C++ or Java programming language to calculate the 10-day 99%Monte Carlo Simulation based VaR for the portfolio. Set the number ofsimulation to 5000.
单个期权的知道怎么计算,但是具有相关性的期权组合不知道怎么算,求思路,谢谢。
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