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The purpose of this assignment is to value, in the Black-Scholes model, arithmetic Asian options using two di?erent approaches, viz. lognormal approximation and by Monte

The purpose of this assignment is to value, in the Black-Scholes model, arithmetic Asian options using two di?erent approaches, viz. lognormal approximation and by Monte Carlo simulation. Let Xt be the price of a traded asset so that it satis?es an sde of the form

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