And determines the terminal value share price
Write the above as an expectation (the form of this expectation should be apparent in your code).
Estimate the value of the integral as a function of sample size. Use sample sizes of 1000, 2000, ..., 50000.
Share volatility is 30%
The risk-free rate is 10%
Write a function which takes a risk-free rate, the initial share price, the share volatility, and term as inputs, and determines the terminal value of a share price, assuming geometric Brownian Motion. Note, you should vectorize this function where possible.
Write a function which takes terminal share prices, a strike price, a risk-free rate and term as inputs, and gives out the discounted value of a European put option.