easy · Quantitative Finance derivatives
A risk analyst is comparing an arithmetic Asian call option (based on the average price) to a standard vanilla European call with the same strike and maturity.
Assuming the same market conditions, which statement is generally true?
- The Asian option price is independent of volatility.
- They must have the same price by arbitrage.
- The Asian option is more expensive than the vanilla option.
- The Asian option is cheaper than the vanilla option.
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