Please Solve in Matlab, thanks! Assume the stock price follows a geometric Brownian motion...
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Please Solve in Matlab, thanks!
Assume the stock price follows a geometric Brownian motion dS = rSdt + o SdZt, where So = 20, and o = 0.3, and annual risk free interest rate r = 5%. Price an Asian option matures in 1 year with strike price K = 20 by the Monte Carlo method. The payoff function of the Asian option is N 1 payoff = max{(An K)+}, where An = Si, N i=1 = where N = 1/At. In the Monte Carlo method, we set the time step At 0.1, 0.01, 0.005, 0.001, respectively, and the number of paths can be determined as M = 1/(At)2. Plot a graph of the computed Asian option prices with respect to At. Assume the stock price follows a geometric Brownian motion dS = rSdt + o SdZt, where So = 20, and o = 0.3, and annual risk free interest rate r = 5%. Price an Asian option matures in 1 year with strike price K = 20 by the Monte Carlo method. The payoff function of the Asian option is N 1 payoff = max{(An K)+}, where An = Si, N i=1 = where N = 1/At. In the Monte Carlo method, we set the time step At 0.1, 0.01, 0.005, 0.001, respectively, and the number of paths can be determined as M = 1/(At)2. Plot a graph of the computed Asian option prices with respect to At
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