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The following table shows the weekly closing prices of IBM from March 12 to May 28 of the same year. Date 23 Аpril 30 Аpril 7th May Date Price Price 12th March 75.18 85.75 19th March 82.00 84.90 26" March 81.55 86.68 2nd April 81.46 14 May 88.70 21s May 28 Мay 9th March 78.71 86.18 16" Аpril 82.88 87.57 Consider two Asian options issued on March 12 and expired on May 28. Define: VA = the terminal payoff of a geometric average strike call VB = the terminal payoff of an arithmetic average price put, with a strike of 85 For both options, the stock is observed weekly to determine the average. Determine |VA – VB| -

The following table shows the weekly closing prices of IBM from March 12 to May 28 of the same year. Date 23 Аpril 30 Аpril 7th May Date Price Price 12th March 75.18 85.75 19th March 82.00 84.90 26" March 81.55 86.68 2nd April 81.46 14 May 88.70 21s May 28 Мay 9th March 78.71 86.18 16" Аpril 82.88 87.57 Consider two Asian options issued on March 12 and expired on May 28. Define: VA = the terminal payoff of a geometric average strike call VB = the terminal payoff of an arithmetic average price put, with a strike of 85 For both options, the stock is observed weekly to determine the average. Determine |VA – VB| -

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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The following table shows the weekly closing prices of IBM from March 12 to May 28 of the same year. Date Price Date Price 12th March 75.18 23rd 85.75 April 30 Аpril 7th May 19th March 82.00 84.90 26h March 81.55 86.68 2nd April 81.46 14th May 88.70 gth March 78.71 21 May 86.18 16th April 82.88 28th May 87.57 Consider two Asian options issued on March 12 and expired on May 28. Define: VA = the terminal payoff of a geometric average strike call VB = the terminal payoff of an arithmetic average price put, with a strike of 85 For both options, the stock is observed weekly to determine the average. Determine |VA – VB|
Transcribed Image Text:The following table shows the weekly closing prices of IBM from March 12 to May 28 of the same year. Date Price Date Price 12th March 75.18 23rd 85.75 April 30 Аpril 7th May 19th March 82.00 84.90 26h March 81.55 86.68 2nd April 81.46 14th May 88.70 gth March 78.71 21 May 86.18 16th April 82.88 28th May 87.57 Consider two Asian options issued on March 12 and expired on May 28. Define: VA = the terminal payoff of a geometric average strike call VB = the terminal payoff of an arithmetic average price put, with a strike of 85 For both options, the stock is observed weekly to determine the average. Determine |VA – VB|
A 0.78 B 1.53 C 2.62 2.65 E 4.19
Transcribed Image Text:A 0.78 B 1.53 C 2.62 2.65 E 4.19
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