Use implicit trinomial tree to perform the calculation of a put

May 19, 2023

Q.16 Redo the calculations of Q.15 with Sobol method (optional).

Q.17 Use implicit trinomial tree to perform the calculation of a put knowing the following information: S = 95; X = 106; RF = 0, 05; Sigma = 0.25; T = 5/12; b = 0.12; n = 200.

Q.19 Using the Monte Carlo Least Squares approach, evaluate the price of an Amerian put assuming an Heston (1993, 2000) stochastic volaitiliy model having the following caracteristics: K=10, r=0.05, T=4/12, k=5, theta=0.16, sigma=0.9, rho=0.1, v0=0.0625, S = 8 to 12, and values of American puts : 2.000, 1.107064, 0.520030, 0.213668. Define and explain each concepts. Hint : see Rouah (2015).

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