Notebook 6

Question 1

What is the formula for Brownian Bridges?

What its mean and variance?

What expression do we use you construct a Brownian Bridge?

Answer 1

Question 2

What is the midpoint formula we will use to construct a Brownian Bridge?

Answer 2

Question 3

What is the Brownbridge function?

Answer 3

Question 4

How do we simulate Brownian paths from the Brownbridge function?

Answer 4

Question 5

Alternative function for implementing BrownBridge_alt()?

Answer 5

Question 6

What is the formula for local volatility?

Answer 6

Question 7

What is the local volatility function volatility()?

Answer 7

Question 8

How do we simulate a SDE_euro_call with local volatility?

Answer 8

Question 9

GBM_Euler function for a basket option?

Answer 9

Question 10

GBM_Euler function using Antithetic variance reduction for a basket option?

Answer 10

Question 11

Using the GBM_Euler function to price a European Basket Option?

Answer 11

Question 12

Using the GBM_Euler function to price a Asian Basket Option?

Answer 12

Question 13

Using GBM_Euler function to price a lookback option?

Answer 13

Question 14

Using GBM_Euler_Ant function to price a European Basket Option?

Answer 14

Question 15

Using GBM_Euler_Ant function to price a Asian Basket Option?

Answer 15

Question 16

Using GBM_Euler_Ant function to price a Lookback Basket Option?

Answer 16