title: R code: CEV Model & MC simulation
body: <p>No idea how to implement this code on R, any help is welcome!</p>
  
  <p>We assume that the underlying process ST follows a CEV model.</p>
  
  <ul>
  <li>Evaluate the Expected Value of the following payoff using the MC method. Write an efficient code. (Hint: system.time() r function could be useful).</li>
  </ul>
  
  <p>max{ST - K, 0} <strong>1</strong> a_1 ≤ ST_1 ≤ b_1, <strong>1</strong> a_1 ≤ ST_2 ≤ b_1, <strong>1</strong> a_1 ≤ ST_3 ≤ b_1</p>
  
  <p>where a_1 &lt; b_1 and <strong>1</strong> is an indicator function, T1 =0.25*T, T2 =0.5*T, T3 =0.75*T</p>
  
  <p>(Hint: The final time T in your code must be an input fixed by the user. If the user chooses T = 10 than T1 =10*0.25 = 2.5 and so on)</p>
  
  <ul>
  <li>Compute the upper and lower bound of the MC price</li>
  <li>For each model parameter write a code for evaluating the corresponding sensitivity measure</li>
  </ul>
  
  <p>Online I found some strings of code, but they seem to be too advance for a student like me.</p>