Question: How is the pseudo-code in Box 14.4 to be modified, to valuate a European fixed strike lookback call? Box 14.4 Box 14.4 Pseudo-code for fixed

How is the pseudo-code in Box 14.4 to be modified, to valuate a European fixed strike lookback call?

Box 14.4

Box 14.4 Pseudo-code for fixed strike arithmetic Asian call

Initialization Set N. M b =r > Cost-of-carry rate At = T/M Path replication D Path discretization For n = 1 to N For m =

Initialization Set N. M b =r > Cost-of-carry rate At = T/M Path replication D Path discretization For n = 1 to N For m = 1 to M > Random number generation N(0, 1) Draw Z Sm = Sm-1 exp ((b - to)At + o VAiz) Next M r = 1/(M + 1) EM Sm V = max (ST - K,0) > Arithmetic average Payoff function Next N Vo = exp (-rT) 1/NE, V) Print Vo DOutput

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