Question: 3. Construct a MATLAB program for the estimation of the value of a call-on-max option on the cumulative returns of two assets modeled by correlated

3. Construct a MATLAB program for the estimation of the value of a call-on-max option on the cumulative returns of two assets modeled by correlated Brownian motions, i.e., the payoff at maturity is max [max [ln{S1(T )/S1(0)}, ln{S2(T )/S2(0)}] − K, 0]. One also wants to estimate the greeks (Δ, V) using the generalization of the pathwise method of Broadie-Glasserman. The inputs are: the strike K, the riskfree rate r, the maturity T , the volatilities σ1, σ2, the correlation R = R12, and the number of simulations N.

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