For plain vanilla calls and puts, implement the following option pricing methods:
- Basic requirement :
Black-Scholes formulas (for European options)
Monte Carlo simulation (for European options)
CRR binomial tree model (for both European and American options)(Inputs: S0, K, r, q, σ, T, number of simulations, number of repetitions, n. Outputs: Option values for all methods and 95% confidence interval for Monte Carlo simulation.)
- Bonus 1 (5 points):
Implement the CRR binomial tree with one column vector. - Bonus 2 (5 points):
Implement the combinatorial method to price European options.
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