(25 marks) In Figure 1, you can find an extracted factsheet of a structured product. Suppose that the initial fixing date is considered as the beginning time of the product and

the final fixing date is considered as the maturity of the product. Moreover, assume that today is the initial fixing date and thus the time to maturity is exactly 1 year. Suppose that we have estimated the parameters (,0) in the Black-Scholes model for the underlying asset price in the real world: dS,= S[udt + odW?]. QUESTION 6. (a) What is the payoff function of this structured product for a given future un- derlying index price path? Express it mathematically. (b) Write pseudo-codes that estimate the price of this product via Monte-Carlo simulation with control variate approach (using the terminal price as control variable). (c) Write pseudo-codes that estimate the delta of this product.