Design and implement an EuropeanOption class (with fixed strike price K). It should hold information such as option type (call or put), spot price (of the underlying asset), strike price, interest rate, volatility (of the underlying asset) and time to maturity. Constructors don’t accept illegal values. Implement a getPrice() function which gives the price of the option using path independent simulation of the stock prices. Using the following dynamics for the stock price with the constant values: dSt= rStdt + σStdWt S0= 100 K = 105 r = 0.02 σ = 0.05 T = 10 Add more features to the class defined in Problem 1, it should contain four member functions to compute the numerical Greeks (getDelta() for spot price, getRho() for interest rate, getVega() for volatility, and getTheta() for time to maturity) of a given option.
Design and implement an EuropeanOption class (with fixed strike price
K). It should hold information such as option type (call or put), spot price (of the underlying asset),
strike price, interest rate, volatility (of the underlying asset) and time to maturity. Constructors
don’t accept illegal values. Implement a getPrice() function which gives the price of the option
using path independent simulation of the stock prices.
Using the following dynamics for the stock price with the constant values:
dSt= rStdt + σStdWt
S0= 100
K = 105
r = 0.02
σ = 0.05
T = 10
Add more features to the class defined in Problem 1, it should contain
four member functions to compute the numerical Greeks (getDelta() for spot price, getRho() for
interest rate, getVega() for volatility, and getTheta() for time to maturity) of a given option.
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