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

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 find

the theoretical price for the following values:

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

❼ strike price K = 200

❼ annualized volatility rate σ = 0.2

❼ annualized risk-free rate r = 0.06

❼ annualized dividend rate d = 0

❼ 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.