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2
votes
1answer
210 views
Implied Volatility for Asian option
I am new to the topic of Asian options. Assume I want to price an Asian put (fixed strike, discrete average) in the Black Scholes world. I know implementations to calculate the value but what is the ...
4
votes
1answer
124 views
Covariance of brownian motion and its time average
It's a question pertaining to the correlation of a log asset process (following BM) and its time average, to put it into form, if
$$X(t)=\mu t+\sigma W(t)$$
then
$$ ...
