Apply the exchange option price formula (see Problem 3.34) to price the floating strike Asian call option

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Apply the exchange option price formula (see Problem 3.34) to price the floating strike Asian call option based on the knowledge of the price formula of the fixed strike Asian call option.

The covariance between S_T and G_T is equal to 2 o(T-1) 2

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Jan 05, 2024 10:45 AM

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Apply the exchange option price formula (see Problem 3.34) to price the floating strike Asian call option

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Mathematical Models Of Financial Derivative

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