Discuss how a geometric mean asian option would be priced

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Discuss how a geometric mean Asian option would be priced by the auxiliary variable method and by Monte Carlo. The geometric mean Asian pays the positive part of the geometric mean minus the strike. (The geometric mean is the exponential of the average of the logs.) Develop an analytic price. How will the price of a geometric Asian option compare to the price of an ordinary Asian?

Reference no: EM131187764

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