08 June 2016 09:46:58 PM BLACK_SCHOLES_PRB C++ version Test the BLACK_SCHOLES library. ASSET_PATH_TEST: Demonstrate the simulated of an asset price path. The asset price at time 0 S0 = 2 The asset expected growth rate MU = 0.1 The asset volatility SIGMA = 0.3 The expiry date T1 = 1 The number of time steps N = 100 The random number seed was SEED = 123456789 Partial results: 0: 2 1: 2.10353 2: 2.07412 3: 2.0394 4: 2.02551 5: 2.10078 6: 2.13498 7: 2.21808 ........ .............. 100: 2.44083 Full results written to "asset_path.txt". BINOMIAL_TEST: A demonstration of the binomial method for option valuation. The asset price at time 0 S0 = 2 The exercise price E = 1 The interest rate R = 0.05 The asset volatility SIGMA = 0.25 The expiry date T1 = 3 The number of intervals M = 256 The option value is 1.14476 BSF_TEST: A demonstration of the Black-Scholes formula for option valuation. The asset price at time T0 S0 = 2 The time T0 = 0 The exercise price E = 1 The interest rate R = 0.05 The asset volatility SIGMA = 0.25 The expiry date T1 = 3 The option value C = 1.14474 FORWARD_TEST: A demonstration of the forward difference method for option valuation. The exercise price E = 4 The interest rate R = 0.03 The asset volatility SIGMA = 0.5 The expiry date T1 = 1 The number of space steps NX = 11 The number of time steps NT = 29 The value of SMAX = 10 Initial Option Value Value 1 0.00139363 2 0.0373367 3 0.223638 4 0.62721 5 1.20992 6 1.91439 7 2.69543 8 3.52261 9 4.37638 10 5.24428 MC_TEST: A demonstration of the Monte Carlo method for option valuation. The asset price at time 0, S0 = 2 The exercise price E = 1 The interest rate R = 0.05 The asset volatility SIGMA = 0.25 The expiry date T1 = 3 The number of simulations M = 1000000 The random number seed was SEED = 123456789 The confidence interval is [1.14311, 1.14663]. BLACK_SCHOLES_PRB Normal end of execution. 08 June 2016 09:46:58 PM