The Value of an Asian Put Option Is Computed Using

question 13

Multiple Choice

The value of an Asian put option is computed using the geometric average strike.What is the expected payoff if the observed prices to date are 71,72,70,68,69,and 68,respectively?

• A) 1.35
• B) 1.45
• C) 1.55
• D) 1.65

---

Definitions:

Chi-squared Goodness-of-fit Test

A statistical test used to determine whether observed frequencies differ significantly from expected frequencies specified by a theoretical distribution.

Rule of Five

An empirical rule suggesting that extreme observations in data, more than five standard deviations from the mean, are rare.

Expected Value

The long-term average value of a random variable over numerous trials.

Student Body Proportions

The distribution of various characteristics (e.g., gender, major, year) within a school's student population, often analyzed in educational studies.