Question: 5. Provide a pseudo-code using Monte-Carlo method to price a barrier up-and-out call option with payoff (ST-K)+ITH >T) where Th is the first hitting time
5. Provide a pseudo-code using Monte-Carlo method to price a barrier up-and-out call option with payoff (ST-K)+ITH >T) where Th is the first hitting time of barrier H > So by the stock price S given by Black-Scholes model. 5. Provide a pseudo-code using Monte-Carlo method to price a barrier up-and-out call option with payoff (ST-K)+ITH >T) where Th is the first hitting time of barrier H > So by the stock price S given by Black-Scholes model
Step by Step Solution
There are 3 Steps involved in it
1 Expert Approved Answer
Step: 1 Unlock
Question Has Been Solved by an Expert!
Get step-by-step solutions from verified subject matter experts
Step: 2 Unlock
Step: 3 Unlock
Study Help