Question
Suppose that S=$100, K=$100, r=0.08, =0.30, =0, T=1. Construct a three-period binomial tree. Assume that Asian options are based on averaging the prices every 4
Suppose that S=$100, K=$100, r=0.08, 
=0.30, 
=0, T=1. Construct a three-period binomial tree. Assume that Asian options are based on averaging the prices every 4 months.
a) What are the possible geometric and arithmetic averages after 1 year?
b) What is the price of an Asian arithmetic average price call?
c) What is the price of an Asian geometric average price call?
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Sport Finance
Authors: Gil Fried, Steven Shapiro, Timothy D. Deschriver
2nd Edition
0736067701, 978-0736067706
