Consider a stock currently priced at $100 per share. Its mean annual return is 15%, and the standard deviation of its annual return is 30%. What is the value of an Asian option that expires in 52...

Consider a stock currently priced at $100 per share. Its mean annual return is 15%, and the standard deviation of its annual return is 30%. What is the value of an Asian option that expires in 52 weeks (1 year) with an exercise price of $110? Assume that the risk-free rate is 9%.

Objective To use simulation to estimate the price of a more exotic call option.