Question: The parameters are given as S(0)=10, E=9, 0-30%, r= 5%, T=1yr.The Asian option with which the final stock price is determined by the average

The parameters are given as S(0)=10, E=9, 0-30%, r= 5%, T=1yr.The Asian

The parameters are given as S(0)=10, E=9, 0-30%, r= 5%, T=1yr.The Asian option with which the final stock price is determined by the average price on every month. Find the geometric average Asian put option value using the theoretical formula and a Monte Carlo method with a set of sample paths 10^2,...,10^5. Find the arithmetic average Asian put option value using a Monte Carlo method with the same number of sets.

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To calculate the value of the geometric average Asian put option using the theoretical formula we need to use the following equation V erTS0Nd1 KerTNd2 where V is the option value S0 is the initial st... View full answer

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