Intuitively, which price should be higher, European option or Asian option? Why? What does your result show (comparing the results for the European call option; the Asian call option)? (Of course, we can only compare them when they are with the same underlying stock and with the same strike price.)
D D H . M. M N N C 1 Monte Carlo Simulation To Price Option PM 2 3 4 5 4/26/2021 Inputs (of XXX) on Apr. 12, 2014 Current Stock Price (S) Riskfree Rate - Annual (Rf) Exercise Price (X) Dividend yield (q) Steps Standard Dev - Annual (s) Time To Maturity (T) dt 6 Start date Maturity Date $143.36 3.00% $145.00 2.8% 150 15.66% 0.3178 0.00211872) 8/20/2021 7 PM + 8 9 10 11 12 13 Market Call Price, on Apr. 26, 2021 $4.92 14 Average Asian Cull Payoffs Current Asian Call Price S0.00 - 15 Average of Call Payoffs Current Call Price Average of Put Payoffs Current Put Price $ $ 4.34 $ 4.30 S 8.46 S 8.38 16 17 18 19 Repetition Number 20 1 2 0 S143.36 $143.36 1 $143.08 $141.98 $144.04 $ $ $143.42 3 4 5 6 7 8 9 10 11 12 $144.81 $143.68 $142.42 $142.66 $142.07 S142.73 $143.43 $144.47 $144.89 $146.41 $145 $141.78 $143.28 $143.96 $142.14 $140.10 S140.68 $141.45 $142.24 $142.78 $143.01 $144 21 Excel File Edit View Insert Format Tools Data Window Help a 8 Mon May 3 2:16 PM e o. AutoSave OFF Investment Report Jack Holcomb Home Insert Draw Page Layout Formulas Data Review View Excel OM Tell me Share Comments Calibri (Body) F A = 2 Wrap Text v y General PD Insert 5x Delete 27-O Ed) ON Analyze Data Peste AW 3 V = $ Merge & Center Sensity Conditional Format Cell Formatting as Table Styles Formal Sort & Filter Find & Select K9 . A B C D F H 1 1 K L M N P 0 R BLACK SCHOLES OPTION PRICING (Basics) 1 2 3 1 5 Inputs (of XXX) on Apr. 26, 2021 Current Stock Price (S) Riskliwe Ralu-Annual (RD) Standard Dev. Annual(s) XXX August (2021) 145 call Exercise Price (X) Time To Maturity S143 36 3.00% 15.66% 5 4:26:21 2 3 9 10 11 S145.00 Today: 0.3178 Expiration Day! 12 13 10 Clatpurs dl 02 Nido) NI42) Call Price (V) XXX August (2021) 145 put 0.023 -0.05 0.509 0.174 15 16 17 18 0 0 19 20 -0.023 dis 0.191 0.526 $3.19 N-ul) N(-12) Put Price 21 22 23 29 25 26 Pul Price from Pul-Call Park Call Price from Put Call Parity $5.19 54.92 27 28 Market Call Price, on Apr. 26, 2021 Market Put Price, on Apr. 26, 2021 $4.92 $5.19 29 30 31 32 33 34 35 1. Properties you can choose 2. Transactions 3. Trends Sheet1 Sheets + Ready HI 100% w P
