Compute the price of an Asian option in a Bachelier framework, i.e., compute [mathbb{E}left(left(int_{0}^{T}left( u s+sigma W_{s}
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Compute the price of an Asian option in a Bachelier framework, i.e., compute
\[\mathbb{E}\left(\left(\int_{0}^{T}\left(\nu s+\sigma W_{s}\right) d s-K\right)^{+}\right)
\]
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In a Bachelier framework the dynamics of the underlying asset St are given by the equation dSt u dt ...View the full answer
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Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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