Assume that for a continuously sampled arithmetic average asset price the option value V(S,1,1) can be...
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Assume that for a continuously sampled arithmetic average asset price the option value V(S,1,1) can be written as V(S,1,1)=SªF(t) for some function F and some constant a. Then the transformation R= = reduces the problem from three to two dimensions. I дн 1 +0²R²5 2 Ət V = SaH(R,t) (i) Write the path dependent Black-Scholes equation in the case when a continuously sampled arithmetic average asset price is considered. 2²v (ii) Find the derivatives av av and if V is given by (3). dat as' 25² анан ә2н and d'as' 25² (iii) Find the derivatives (iv) Hence show that the partial differential equation for the value of the option (3) is − (1-a) ( ² o²a+r) H=0. - ƏR² ²H ƏH - + (1 + o²R(1 − a) — rR) JR - Assume that for a continuously sampled arithmetic average asset price the option value V(S,1,1) can be written as V(S,1,1)=SªF(t) for some function F and some constant a. Then the transformation R= = reduces the problem from three to two dimensions. I дн 1 +0²R²5 2 Ət V = SaH(R,t) (i) Write the path dependent Black-Scholes equation in the case when a continuously sampled arithmetic average asset price is considered. 2²v (ii) Find the derivatives av av and if V is given by (3). dat as' 25² анан ә2н and d'as' 25² (iii) Find the derivatives (iv) Hence show that the partial differential equation for the value of the option (3) is − (1-a) ( ² o²a+r) H=0. - ƏR² ²H ƏH - + (1 + o²R(1 − a) — rR) JR -
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Related Book For
Materials Science and Engineering An Introduction
ISBN: 978-0470419977
8th edition
Authors: William D. Callister Jr., David G. Rethwisch
Posted Date:
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