Question: (Computer problem) Consider the problem of pricinglookbackoptions for a stock modeled by a geometric Brownian motion with an initial price of $100, a volatility of

(Computer problem) Consider the problem of pricinglookbackoptions for a stock modeled by a geometric Brownian motion with an initial price of $100, a volatility of 40%, and zero interest rate. Let the expiry time be 12 weeks in the future (consider 52 weeks a year), and let the monitoring frequency be weekly.

a)Find the fair price of both the put and call options.
b)Does the put or the call have a higher price? What is a possible intuitive explanation?

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