Question: Explain why expression (11.14) is the continuous-time version of expression (11.13), and find the Black-Scholes formula for the call option on the continuous geometric mean

Explain why expression (11.14) is the continuous-time version of expression (11.13), and find the Black-Scholes formula for the call option on the continuous geometric mean (11.14).

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Denoting the geometric mean by G We have For large n this is approximate... View full answer

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