What is the price of an asian arithmetic average price call

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Suppose that S = 100, K = 100, r = 0.06, σ = 0.30, δ = 0, and T = 1.Construct a standard two period binomial stock price three using the method in Chapter 10. Consider the stock price average computed by arithmetically averaging the 6-month and 1-year prices. What is the price of an Asian arithmetic average price call?

Reference no: EM13956140

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