Hi, i need help building a program for the evaluation of a cash or nothing
option. The option is written on a stock that today has a price of X. Nine
months before i will have this situation:
If a<X<b the option pays 3 dollars
If X<a or X>b the option pays nothing
The price of the title is described by a geometric brownian motion, so i need
to start a Montecarlo simulation to find the stock price using the gbm, and
then using it for the evaluation of the option.
Many thanks to anyone.
Luca, from Italy.
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