1. Consider an Asian call option written on an asset S that has the risk-neutral process given by, dSt įrdt+6dz , with σ being constant. St If the maturity payoff of the Asian call option adopts the geometric average price at three different times Tı , T2, and T ( where Ti < T〈 T) as, cr = mar(GT-K, 0} , where GT-CS7,ST25)3 112 Determine the current price of the Asian call option. 1. Consider an Asian call option written on an asset S that has the risk-neutral process given by, dSt įrdt+6dz , with σ being constant. St If the maturity payoff of the Asian call option adopts the geometric average price at three different times Tı , T2, and T ( where Ti
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