sampled Asian option
Consider the continuously sampled Consider the continuously sampled Asian option of Subsection 7.5.3, but assume now that the interest rate is r = 0. Find an initial capital X(0) and a nonrandom function γ(t) to replace (7.5.22) so that
still holds. Give the formula for the resulting process X(t) , 0 ≤ t ≤ T, to replace (7.5.24) and (7.5.26). With this function γ(t) and process X(t) , Theorem 7.5.3 still holds.
, but assume now that the interest rate is r = 0. Find an initial capital X(0) and a nonrandom function γ(t) to replace (7.5.22) so that
still holds. Give the formula for the resulting process X(t) , 0 ≤ t ≤ T, to replace (7.5.24) and (7.5.26). With this function γ(t) and process X(t) , Theorem 7.5.3 still holds.