Computer Assignment 2 - Stockholms universitet

. Calculate the value of the option after three, six and nine months. (Assume that thetrading days are evenly distributed over the year.)c. Determine the price of a European put option on your chosen stock at September1st, 2006 with exercise time one year and exercise price X.d. Calculate the value of the option after three, six and nine months.e. What happens to the initial prices if the interest rate drops to 5 % while X isunchanged?f. What happens to the initial prices if the volatility is doubled?g. Compare the results with the first exercise. How large is the difference?3 Written reportSolutions to all exercises must be presented in a structured report with a title sheet wherethe name of the course, the number of the assignment and your names clearly should beincluded. Hand written reports will not be accepted.Formulate your answers clearly and motivate all your conclusions exhaustively. Youare welcome to include or append some illustrative figures, but not too many and clearlydescribe in the text what conclusions you draw from each figure.References[1] Björkström, Anders (2002): Grundläggande Matlab-träning, Matematiska institutionen,Stockholms universitet.www.math.su.se/matstat/und/proci/pdf/matlabinstru.pdf[2] Capiński, Marek & Zastawniak, Tomasz (2003): Mathematics for Finance – An Introductionto Financial Engineering, Springer Verlag, London.[3] Holtsberg, Anders (2000): Introduktion till Matlab och Maple, Matematikcentrum,Lunds tekniska högskola.www.maths.lth.se/matstat/kurser/fms120/mlabintr.pdf[4] Moler, Clive (2004): Numerical Computing with MATLAB, MathWorks.www.mathworks.com/moler/chapters.html[5] Pärt-Enander, Eva & Sjöberg, Anders (2003): Användarhandledning för Matlab, Institutionenför informationsteknologi, Uppsala universitet.www.it.uu.se/edu/bookshelf/matlab/?lang=sv6