Question
Assume that the price of a stock follows a GBM model and K = 50$, So = 45$, T = 1, = 20%, r
Assume that the price of a stock follows a GBM model and K = 50$, So = 45$, T = 1, σ = 20%, r = 5%. Find the price of a fixed strike continuous geometric average call option on one share of the stock. Compare it to the price of a standard call option.
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Investments Analysis and Management
Authors: Charles P. Jones
12th edition
978-1118475904, 1118475909, 1118363299, 978-1118363294
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