Using the provided script for simulating trajectories of (St) with the log-normal Black- Scholes dynamics, implement...

 

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Using the provided script for simulating trajectories of (St) with the log-normal Black- Scholes dynamics, implement the Monte Carlo method for pricing Asian Calls. Namely, the option payoff is max N 0, ST. - K i=1 where the arithmetic average is over daily share prices and K is the strike price. This means that your simulated paths should be also sampled daily, At = 1/365. Provide your code and the Monte Carlo estimate (using 400 paths of (St)) of an Asian Call with So 50, K = 50, r = 0.05, 8 = 0, = 0.2 (all annualized) and T = 90/365, i.e. 90 days (thus the sum showing up in the payoff will have 90 terms). = : Using the provided script for simulating trajectories of (St) with the log-normal Black- Scholes dynamics, implement the Monte Carlo method for pricing Asian Calls. Namely, the option payoff is max N 0, ST. - K i=1 where the arithmetic average is over daily share prices and K is the strike price. This means that your simulated paths should be also sampled daily, At = 1/365. Provide your code and the Monte Carlo estimate (using 400 paths of (St)) of an Asian Call with So 50, K = 50, r = 0.05, 8 = 0, = 0.2 (all annualized) and T = 90/365, i.e. 90 days (thus the sum showing up in the payoff will have 90 terms). = :