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Posted: **Thu May 05, 2022 6:15 am**

: Exercise 2 Show In The Bs Model That The Price Of An Asian Option With Floating Strike Payoff Sudu St Is Given 1 (20.57 KiB) Viewed 35 times

Exercise 2 Show, in the BS model, that the price of an Asian option with floating strike (payoff-( Sudu - ST)) is given, at the initial time, by + C = e Soy(0,0) -rT where is a solution of the equation rp + 04-02 (x + 7) + 10/020²2²-0 = Ət дх T with boundary condition (T, x) = (1+x)_.