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Customized asian floating strike put option

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Reference no: EM131063933

Problem 2. A customized Asian floating strike Put option in a 2-period binomial tree pays out

max(0, (So + S1 + S2) S2)

                      3

where Si is the stock price at the end of the i-th period. If So = 40, r = 0.045, o = 0.15, 6 = 0 and each period is 2 months long, find the no-arbitrage price of this Asian option today.

 

Reference no: EM131063933

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