The current stock price is $100. Price a half-year average strike Asian call option if the stock
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The current stock price is $100. Price a half-year average strike Asian call option if the stock volatility is 30%, and the annual risk-free rate is 10%. Use a tree model with six monthly steps. Compare the price you arrive at with the price of an otherwise identical average price Asian call at a strike of $100. State intuitively why the prices are different.
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An earlier question provided a recursive binomial tree for pricing average price Asian options Using ...View the full answer
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