A continuously exponential averaged arithmetic Asian option is a contract, where the average price of the underlying

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A continuously exponential averaged arithmetic Asian option is a contract, where the average price of the underlying is computed as

The parameter ? ? 0 is an arbitrary weight factor. Rewrite the averaging condition in differential form and explain the effect of the parameter ?.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 09:38 AM

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A continuously exponential averaged arithmetic Asian option is a contract, where the average price of the underlying

Question:

Š, = e-" So + A e-(1-t) S;dr

Step by Step Answer:

To rewrite the averaging condition in differential form we differentiate the exponential average pri...View the full answer

A First Course in Quantitative Finance

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