Perform a one-time-step mc simulation of 1000000 paths use, Finance Basics

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Perform a one-time-step mc simulation of 1000000 paths use

One-Time-Step OHMC Problem

Perform a one-time-step MC simulation of 1,000,000 paths (use Brownian motion or GARCH (1,1) or any model of your choice). Consider either a call or put payoff at this time. Use (5.67) and (5.68) to solve for the average cost of hedging and the optimal hedge ratio for the option.

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Finance Basics: Perform a one-time-step mc simulation of 1000000 paths use

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Finance Basics: Perform a one-time-step mc simulation of 1000000 paths use

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