Principles of Financial Computing Course
Principles of Financial Computing
Time: 14:20 ~ 17:10 Friday (Fall Semester)
Location: Room 104 of the CSIE Building
- Teaching Assistant(s)
Notes [ 2016 ]
Homework should be turned in on time. No late
homework will be accepted without legitimate reasons.
There will be four to six programming
Treat each homework as an examination.
You are expected to write your own
codes and turn in your source code.
Do not copy or collaborate with fellow students.
Never ask your friends to write programs for you.
Never give your code to other students or publish your code because it may be copied
and you in turn may be suspected of copying other's code!
The graders will not attempt to sort out who the original coders are because we are not running a court here.
Do program carefully.
It is much more important to get the numbers right than to get a
pretty user interface running.
Write a binomial tree program to price European and American puts.
Inputs: S (stock price at time 0), X (strike price), t (maturity in years), s (%) (annual volatility), r (%) (continuously compounded annual interest rate), and n (number of periods).
when S = 50,
X = 50,
t = 0.5 (year),
s = 20 (%),
r = 5 (%), and
n = 100, the price is about 2.2028 for an European put and 2.3246 for an American put.
Please send your source code, executable code, and a brief explanation file if necessary (e.g., how to run it?) using the
Compress your files into a single file and name it StudentID for easy reference.
Example: R91723054. Even if you need to make an appointment with the TA for demonstration
because of the unusual software you use, you still have to submit the files before the deadline.