Based on the option pricer we developed in cpp22 write a C++ program (console application) that will run

a Monte Carlo simulation to approximate the theoretical value of the straddle portfolio consisting of both

call and put down-and-out arithmetic Asian options.

Your code should be ready to price the option for any values of its characteristics, nevertheless please ?nd

the theoretical price for the following values:

? price of the underyling at the moment of option pricing: S0 = 195

? strike price K = 200

? annualized volatility rate ? = 0.2

? annualized risk-free rate r = 0.06

? annualized dividend rate d = 0

? time to maturity t = 0.5

As far as the barrier level b is concerned, it’s up to you. Choose a reasonable value. Avoid the barrier that

will make the portfolio price to be zero.

Write a short report on it.

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