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

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Definitions:

Poisson Probability Distribution

A statistical distribution that expresses the probability of a given number of events occurring in a fixed interval of time or space, assuming these events occur with a known constant mean rate and independently of the time since the last event.

Continuous Probability Distribution

Describes the probability distribution of a continuous random variable, indicating the likelihood of the variable taking on a range of continuous values.

Poisson Distribution

A probability distribution that expresses the probability of a given number of events occurring in a fixed interval of time or space if these events occur with a known constant mean rate and independently of the time since the last event.

Binomial Distribution

A statistical distribution that represents the chances of a value adopting one of two distinct states across a certain amount of observations.