Mathematics, 05.03.2020 05:30 Serenitybella
14.3 Suppose that S = $100, K = $100, r = 0.08, σ = 0.30, δ = 0, and T = 1. Construct a standard two-period binomial stock price tree using the method in Chapter 10. a. Consider stock price averages computed by averaging the 6-month and 1-year prices. What are the possible arithmetic and geometric averages after 1 year? b. What is the price of an Asian arithmetic average price call? c. What is the price of an Asian geometric average price call?
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14.3 Suppose that S = $100, K = $100, r = 0.08, σ = 0.30, δ = 0, and T = 1. Construct a standard two...
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