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

Database System Concepts
7th Edition
ISBN:9780078022159
Author:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
Publisher:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
Chapter1: Introduction
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Python Programming: Option Pricing Using Monte Carlo Simulation

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 $n=100, n=1000, n=10,000$ id copies of $C_T$ (for averaging).
In [4]:
# write your code here
# you may add more cells as needed
Transcribed Image Text: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 $n=100, n=1000, n=10,000$ id copies of $C_T$ (for averaging). In [4]: # write your code here # you may add more cells as needed
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