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Level II
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Derivatives
Derivatives
Hard
A portfolio manager holds Asian-style options on crude oil. Compared to otherwise identical European vanilla options, the Asian options most likely have:
A
Lower premiums due to the averaging feature reducing effective volatility
B
Higher premiums because they cover a longer exposure period
C
Equal premiums because the expected payoff is the same
D
Lower premiums only when oil prices are in contango
Select an answer to continue
Tags
#exotic-options
#asian-options
#averaging
#option-pricing
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