Consider Asian options that are based on quarterly stock prices over 2 years and matures two years from now. Calculate the payoff of a 100-strike arithmetic average price call.

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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A stock has a time-t price of s(t). You are given the following values of S(t)
S(t)
100
107
102
96
94
110
115
120
108
Consider Asian options that are based on quarterly stock prices over 2 years and matures two years from now.
Calculate the payoff of a 100-strike arithmetic average price call.
Possible Answers
A -8
B
t
0
0.25
0.5
0.75
1
1.25
1.5
1.75
2
-6.5
O
6.5
E 8
Transcribed Image Text:A stock has a time-t price of s(t). You are given the following values of S(t) S(t) 100 107 102 96 94 110 115 120 108 Consider Asian options that are based on quarterly stock prices over 2 years and matures two years from now. Calculate the payoff of a 100-strike arithmetic average price call. Possible Answers A -8 B t 0 0.25 0.5 0.75 1 1.25 1.5 1.75 2 -6.5 O 6.5 E 8
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