Recalculate Table 4.1 for Asian options assuming prices follow a differential IG process. Data given in table
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Recalculate Table 4.1 for Asian options assuming prices follow a differential IG process.
Data given in table 4.1
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Table 4.1. Asian versus European option prices So = 100, f = 3%, o = 20%, At(days) = 0.01 Type Strike Call 100 Call 100 Call 100 Call 95 Call 105 Put 100 Expiry(days) 60 60 60 60 60 60 Avg. period Asian 1.99 2.82 3.16 5.50 Entire Last 30 days Last 15 days Entire Entire. Entire 0.41 1.75 European 3.48 3.48 3.48 6.61 1.54 2.99
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