Problem 3: With the same parameters as in Problem 2, price the Asian call option: The payoff $C_T$ at atime $T$ is based on the average value of the stock over the $T$ time units: $$ C_T = \left( \frac{1}{T} \sum_{i=1}^{T} S_i-K \right)^+ $$ Use $n=100, n=1000, n=10,000$ iid copies of $C_T$ (for averaging). # write your code here # you may add more cells as needed

Problem 3: With the same parameters as in Problem 2, price the Asian call option: The payoff $C_T$ at atime $T$ is based on the average value of the stock over the $T$ time units: $$ C_T = \left( \frac{1}{T} \sum_{i=1}^{T} S_i-K \right)^+ $$ Use $n=100, n=1000, n=10,000$ iid copies of $C_T$ (for averaging). # write your code here # you may add more cells as needed

Operations Research : Applications and Algorithms

4th Edition

ISBN:9780534380588

Author:Wayne L. Winston

Publisher:Wayne L. Winston

Chapter9: Integer Programming

Section9.2: Formulating Integer Programming Problems

Problem 3P

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