Using Monte Carlo simulation price the 6-year Equity Linked Note on index S&P500.
I have the historical prices of index S&P 500.
Issue Date: 30 July 2004
Maturity Date: 30 July 2010
My problem is to compute
Notional * Risky Coupon_t
where Risky Coupon_t= 2% if index_t>=index_(t-1)
0 otherwise
In this problem Risky Coupon_t is kind of binary option and t=1,2,3,4,5,6
How we will solve this problem with Matlab code.????? Looking for kind response
I have the historical prices of index S&P 500.
Issue Date: 30 July 2004
Maturity Date: 30 July 2010
My problem is to compute
Notional * Risky Coupon_t
where Risky Coupon_t= 2% if index_t>=index_(t-1)
0 otherwise
In this problem Risky Coupon_t is kind of binary option and t=1,2,3,4,5,6
How we will solve this problem with Matlab code.????? Looking for kind response
