Describe (in words) the value of the replicating portfolio and the value of the theoretical call as a function of the underlying at time T.

PROJECT

Simulate an arbitrary number of Geometric Brownian Motion pathways. You’ll probably want to simulate at least 1,000 paths. Each path depends on a set of random numbers, a constant volatility and default-free rates. This is a simulation for the underlying stock index, S(t) up until a terminal time T. (No dividend yield.)
ation rate.

Describe (in words) the distribution of replicating errors.

Describe (in words) the value of the replicating portfolio and the value of the theoretical call as a function of the underlying at time T.