Practice Options
Price an autocallable note by Monte Carlo
Hard+50 pointsAbout 75 minutesOptions
Coming soon
Price an autocallable with a knock-in put, and show how its value depends on volatility and correlation.
This problem opens with Derivatives Modelling. It draws on the modules below.
- Derivatives 1.15 Structured products (coming soon)
- Computing 2.4 Monte Carlo (coming soon)