Develop a Monte Carlo using control variates to value at time 0 a European call option which has a payoff at time T(maturity) of Max 0, (S K) 0 5 1 Where S follows the standard Black Scholes process dS rSdt Sdz Your control variates should be the values of a European call option whose payoff at maturity is Max 0, S K 1 Give your answer for 0 3, r 0 05, S 0 100, K 102 and T 2 Provide the R code

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Question: Develop a Monte Carlo using control variates to value at time 0 a European call option which has a payoff at time T(maturity) of Max

Develop a Monte Carlo using control variates to value at time 0 a European call option which has a payoff at time T(maturity) of

Max [0, (S/K)^0.5 -1]

Where S follows the standard Black Scholes process:

dS = rSdt + Develop a Monte Carlo using control variates to value at time 0 Sdz

Your control variates should be the values of a European call option whose payoff at maturity is: Max [0, S/K -1]. Give your answer for ?=0.3, r=0.05, S₀=100, K=102 and T=2. Provide the R code

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