Foreign Exchange Option
We will use the Garman-Kohlhagan model (Links to an external site.) to price our options in this assignment. We will write a function that takes the option contract parameters (type–call or put, strike price, and expiration date) as well as market observations (spot exchange rate, volatility, and interest rates in both the domestic and foreign currencies) and returns the fair market value of the option contract.
The work will be decomposed into several functions and the pricing function will use these lower-level functions to calculate its result. The functions you will write are:
fx_option_price(call, strike, expiration, spot_date, spot, volatility, domestic_rate, foreign_rate)
fx_option_d2(term, volatility, d1)
fx_option_d1(strike, term, spot, volatility, domestic_rate, foreign_rate)
discount(rate, term)
years_apart(date1, date2)
Collepals.com Plagiarism Free Papers
Are you looking for custom essay writing service or even dissertation writing services? Just request for our write my paper service, and we'll match you with the best essay writer in your subject! With an exceptional team of professional academic experts in a wide range of subjects, we can guarantee you an unrivaled quality of custom-written papers.
Get ZERO PLAGIARISM, HUMAN WRITTEN ESSAYS
Why Hire Collepals.com writers to do your paper?
Quality- We are experienced and have access to ample research materials.
We write plagiarism Free Content
Confidential- We never share or sell your personal information to third parties.
Support-Chat with us today! We are always waiting to answer all your questions.