Repeat Problem 1 for a floating strike Asian option. Data given in Problem 1 Write a program
Question:
Repeat Problem 1 for a floating strike Asian option.
Data given in Problem 1
Write a program to calculate Asian options. Try it out for a 60 day ATM call option with S0 = 100, and r = 3 %. Let the averaging take place over the last 30 days. Plot the option price as a function of volatility.
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