Repeat Problem 1 for a floating strike Asian option. Data given in Problem 1 Write a program

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Repeat Problem 1 for a floating strike Asian option.

Data given in Problem 1

Write a program to calculate Asian options. Try it out for a 60 day ATM call option with S₀ = 100, and r = 3 %. Let the averaging take place over the last 30 days. Plot the option price as a function of volatility.

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Finance With Monte Carlo

ISBN: 9781461485100

2013th Edition

Authors: Ronald W. Shonkwiler

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Question Posted: Oct 03, 2023 06:20 AM

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Repeat Problem 1 for a floating strike Asian option. Data given in Problem 1 Write a program

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Creating a program to calculate Asian options especially with varying volatilities and other paramet...View the full answer

Finance With Monte Carlo

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