Price the daily hedge of this Asian put for me

[arabianights]

What is the estimated option price of a daily hedge for an Asian put option in a physical GBM market with 5% excess return p.a. and the following specification?
· Strike K = 100,
· Maturity T = 6 months
· Volatility sigma = 40%
· Initial stock price = 100
· Interest rate = 5%


(Anyone who susses my little plan shusssshh)

 

[Technically Fundamental]

wtf

 

[Technically Fundamental]

post your workings

 

[megamuel]

What is the estimated option price of a daily hedge for an Asian put option in a physical GBM market with 5% excess return p.a. and the following specification?
· Strike K = 100,
· Maturity T = 6 months
· Volatility sigma = 40%
· Initial stock price = 100
· Interest rate = 5%


(Anyone who susses my little plan shusssshh)

You never cease to baffle me and make me feel very stoopid!

 

[Skill Leverage]

one thousand billion lire

 

[Martinghoul]

I think while on vacation Cap'n Arab has really been drinking way too much. That's the only explanation I can come up with for him asking completely absurd question like that!

 

[Technically Fundamental]

He does one every couple of months.

 

[Martinghoul]

Well, I just mean that it's an ill-formed question, which makes it completely nonsensical.

 

[Technically Fundamental]

eh?

 

[gooseman]

i think he is asking for the gamma-rent

 

[Skill Leverage]

i think he is asking for the gamma-rent

So my answer was incorrect then?

 

[elitejets]

Price it yourself

 

[GammaJammer]

Nice work Ms Quanty-pants

 

[arabianights]

tbh I just copied and pasted it from some competition wilmott spammed me

I don't even know what I could win

I'll hang my head in shame now

 

[elitejets]

Lazy B*stard haha

 

[Technically Fundamental]

tbh I just copied and pasted it from some competition wilmott spammed me

I don't even know what I could win

I'll hang my head in shame now

n0b head I spent half an hour last night going through my notes trying to find formulas for that

 

[GammaJammer]

Awesome - like the keystone cops.....

 

[Skill Leverage]

On an unrelated note, anyone reading the Metro today may have noticed those crime statistics they printed. Quite interesting really, I had no idea that 9 out of 10 people enjoy gang rape...

 

[GammaJammer]

Can guess who the remaining one person was.......

 

[elitejets]

On an unrelated note, anyone reading the Metro today may have noticed those crime statistics they printed. Quite interesting really, I had no idea that 9 out of 10 people enjoy gang rape...

People or men?