Price the daily hedge of this Asian put for me

[N Rothschild]

i think some of the people who can have answered that have left the building..

 

[Technically Fundamental]

Only on this website could the topic swing from financial mathematics to gang rape

 

[ffsear]

97.5212

 

[arabianights]

n0b head I spent half an hour last night going through my notes trying to find formulas for that

Then you learnt something

 

[Technically Fundamental]

I learned I havent learned enough but this is already a widely known fact.

 

[squall321]

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)

that's numberwang