Can the approach for valuing path dependent options in Section 27.5 be used for a two-year American-style
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Can the approach for valuing path dependent options in Section 27.5 be used for a two-year American-style option that provides a payoff equal to max(Save - K, 0) where Save is the average asset price over the three months preceding exercise? Explain your answer.
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As mentioned in Section 275 for the procedure to work it must b...View the full answer
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