arabianights
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What is the estimated option price of a daily hedge for an Asian put option in a physical GBM market with 5% excess return p.a. and the following specification?
· Strike K = 100,
· Maturity T = 6 months
· Volatility sigma = 40%
· Initial stock price = 100
· Interest rate = 5%
(Anyone who susses my little plan shusssshh)
· Strike K = 100,
· Maturity T = 6 months
· Volatility sigma = 40%
· Initial stock price = 100
· Interest rate = 5%
(Anyone who susses my little plan shusssshh)
