to price a European “down-and-in” option, struck on AMD stock. This exercise should familiarise you with the use of binomial trees, Monte Carlo, the calculation of implied volatilities, and the Greeks. It also introduces you to exotic options.


不是很理解这一步怎么做 选着哪一个值合适，Begin by working through the filtered calls an puts, and decide on which ones are useful for your pricing. You could use all of them, or you could consider only those who meet a particular threshold for volume and/or open interest.

Explain how you chose the interest rate(s) you did for the down-and-in option valuation. 怎么利用LIBOR 来rescale interest from calendar days to network days (and work with network days)？