Use the inverse transform method to generate samples of a random variable X with the p.d.f

Suppose that we can generate independent samples of standard normal random variables. (Write the pseudo-codes that) Use the acceptance-rejection method to generate samples of a random variable X with the p.d.f.

where c = 1/1.5413. Moreover, calculate the acceptance probability in the algorithm.

Let the random variable X have p.d.f

Write the pseudo-codes that generate random variates from f(x), using

(a) the inverse-transform method;

(b) the acceptance-rejection method with the proposal density

A stock with a current value S(0) = 100 has an expected growth rate of its logarithm of v = 12% and a volatility of that growth rate of σ = 20%.

**(a)** Find suitable parameters of a binomial lattice representing this stock with a basic elementary period of 3 months. Remark: Either approximated or non-approximated formulas is fine. You may try both to see their difference but please stick with one set of parameters for parts (b) and (c).

**(b)** Draw the lattice and enter the node values for 1 year.

**(c)** What are the probabilities of attaining the various final nodes in part (b)?

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The post MH4518: Use the inverse transform method to generate samples of a random variable X with the p.d.f: Simulation Techniques in Finance Assignment, NTU appeared first on Singapore Assignment Help.