Valuing an Asian Call option that has 3 months to maturity and cant be expired early using
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Question:
Valuing an Asian Call option that has 3 months to maturity and cant be expired early using a non-recombing binomial table in excel.
My inputs are
S0= 100
U=1.105171
D=.904837
T= .25(3/12)
Risk free Compounded Cont = 2%
Volatility = 20%
N(periods) 2
I may be missing inputs I dont know.
So I need 4 trees; underlying, Asian call, hedge, and then cash in that order. Please show in excel.
I need final no arbitrage price of the Asian call as the final answer
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