題組內容

2. (30%) The formula for a geometric Asian call option with six parameters (S, X,r,q, σ,T) is as follows. C(S,X,r,q,σ,T) =62032e30807ec.jpg

 where62032e58d90dc.jpg
 and N(●) is the cumulative distribution function of the standard normal distribution defined as
62032e9b6c041.jpg
 where n(●) is the probability density function of the standard normal distribution.

(c) (8%) Derive and express62032f65b2504.jpg as C + Dd2 and E + Fd2, respectively. What are C, D, E, and F?