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elf_fu elf_fu
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Posts: 705
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6 years ago
Assume S = $55, K = $55, r = 0.07, σ = 0.27, div = 0.0, and 180 days until expiration. What is the premium on an Asian average price call, where N = 5?
A) $2.89
B) $2.99
C) $3.09
D) $3.19
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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Posts: 471
6 years ago
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I think this must be right especially if the exponential is included in the formula so I do not feel alone that you are right in your equation.
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