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.