Exercises

1. What is the definition of exotic options?
2. Why is it claimed that a callable bond is equivalent to a normal bond plus a Bermudan option (the issuing company is the buyer of this Bermudan option while the bond buyer is the seller)?
3. Write a Python program to price an Asian average price put based on the arithmetic mean.
4. Write a Python program to price an Asian average price put based on the geometric mean.
5. Write a Python program to price an up-and-in call (barrier option).
6. Write a Python program to price a down-and-out put (barrier option).
7. Write a Python program to show the down-and-out and down-and-in parity.
8. Write a Python program to use permutation() from SciPy to select 12 monthly returns randomly from the past five-year data without placement. To test your program, you can use Citigroup and the time period January 1, 2009 to December 31, 2014 from Yahoo Finance.
9. Write a Python program to run bootstrapping with n given returns. For each time, we select m returns where m>n.
10. In this...