Exercises
- What is the definition of exotic options?
- Why is it claimed that a callable bond is equivalent to a normal bond plus a Bermudan option (the issuing company is the buyer of this Bermudan option while the bond buyer is the seller)?
- Write a Python program to price an Asian average price put based on the arithmetic mean.
- Write a Python program to price an Asian average price put based on the geometric mean.
- Write a Python program to price an up-and-in call (barrier option).
- Write a Python program to price a down-and-out put (barrier option).
- Write a Python program to show the down-and-out and down-and-in parity.
- Write a Python program to use
permutation()from SciPy to select 12 monthly returns randomly from the past five-year data without placement. To test your program, you can use Citigroup and the time period January 1, 2009 to December 31, 2014 from Yahoo Finance. - Write a Python program to run bootstrapping with n given returns. For each time, we select m returns where m>n.
- In this...
