Exercise 11.11 In the model considered in Example 11.4, suppose (S, t) = c(S) and (S, t)

Exercise 11.11 In the model considered in Example 11.4, suppose μ(S, t) =

c(μ−S) and σ(S, t) = σ

√

S. Calculate by Monte Carlo simulation the expected payoff from the call option written on this security with parameters c = 0.1,

μ = 110, σ = 0.2, S = K = 100, T = 1, and h = 1/250.