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.

(d) (6%) Derive and express 62032f9d37de0.jpg ar as the form of Gn(H). What are G and H?