"!#
%$'&( )*+
,&(-
"&(%
. /10-23.54687:9<;>=@?A<ABDCE
F
GIH"JLKNMPOQGSRTMUWV3XY"ZL[]\_^`[WabXdceHf\gR-hJigi
j ULi c"Okl\_JnmoRT\gpqG`KN[r\sM_Z
t:GSuwvxULK]yeabtzv|{}}q~"`am@<
? A.+7+?5D.
3
:<lW`Wf< <`z<<LqlW<WTe3"]S<l>]<q"<< TlsrqNdLW
_Lo]"qqTeWLqqq]L<<"q?3WqQL"WL<3s?3l]`qLB"]Lf`qq] W<N]dL
`LNW]LL<lLbTeW WW]LL<W`WN]LlL]<L<rq< q<< <l<<`<qWWq
?3]q"Nr9.< ]ll`qq]#xz`q`"e]lqll<]e]l q<|W]q< 9*.<lW<|
]NT<llqWTedq@45<fq"*< WQ NL+<lW>eD`qr<<5q@W]q<TqW<<Lq"W]l
L<>qWlL<W<l]drq"3qfL]W<Lq<ldq@W<>llr L9.`LW<3NfL<lWq@N
<L]LqfW<+]lqW<]q<+W<5q] W<N]+`l] 5`q]LL<+lL<]<lWD>]qlo]N
q@]l<Wl]l]eW >Lq<lDsL]"`lr L"Wl]fLe]ld+<lz"`ll]]qWTq"qW<lW+W3<W`
W]q<Tq]Tqrq]]ll<]WL
W3qq<D]"dL"]L9d"]l]lqNl`b<ll]e]L
qbW<+<`"9D/<qWW`"qS"D
"]<W>]Te5L"WLLq"`3q]WqWq5Q_"<N]LqoW<
<f`:q+<<LqoWxlW<o]WTe7rTqW<]LNWrqfLeWL(Sqxq"<l
]lTeWQSl_q<WLlWl< <lWLW<lNDlL]W`NWL<Sf"rqeWSq "`W`q] W<
]fl`(q+W<zNW<9#z<WS<<Nrql(r<lrq<("WWreWL<Sb]"S+ WTeL<
q<<]q]`qqr"l3qQ<l]W`Nlfq@qll<]qlQ_L`LlN]LLD< x<WL<LTeWl
] ldq<_LdL L]<LIde]"] W``9o/P+D"<`q <rPqI]ldWTqzIrq"Tq]zD3B
q<0L]
dqWq<<Wqr<lS9
GSZLuUKIL[qq]qzL"]L"ST<"LqNW<<`q] N"lW`WL"T< W:< xl]l<l]r"`l

DT35xW
z`Pfxesb+_@xs<xfSTbb>xeo<xqffoeoxe`5oe_T
SxnoeS"sb%S_fS_nx#o%fex%_n`qf-Pxex
bTeNbo
S_xbxSoooxeooeT@_o-lS]|_<x:osb`Qxxe``
T+T3@SbesoTx b"1x31Ss-oqbxoxTsSS"l>qTS"<>xnnges"
__xx_xnx_b<qfso1Teoex_Snxx"Sob<f_e(`beS_o_*S
PfexSS:oePnTxnef_b_b_o#f`Sne:S-(fbsob_fSeooe_lb`
1xe
(fSoegl3bx3SbSsSfxz`PfxoS_xSoTfexx3_b_bnSQ(fbxfbs
bqTesfbSb-fo_ssl(eb_b*oPSgesnxexqx1o_sTSobd
o"`Q1"TSbS"5(xxz`PfxoS_xb>TSSqxS_xxbSeTTes:bbxbPf@_b`Seone
bexxSofSPxesbb<x_`bq8x
eo_sles8Sb(_l1)xxe
"`_xs__ne_f%(xSeSPfxesbb<x"nnxenfb8nxex
ENqLeeeLIqLSST`1qq


 
i JL[r[NG`R
nooPx(ox-xnnges"_sxP8xbx_>So<l(TlSslfxoS_xbSxPs
eo
(xSfez`Pf+
 xsb soq `qq-Tex`o(ebsebbfeP5oxS]_wSe_Pf `_SbsS|:SnSboQ `efexooboofoPqef_1sxxoee `offnbT<efsesqnfbxfn_oSs__-xfo%$ qxxfoLbeSe__xS
_bxP

 !"#
o_`SesbS_x(1Q`Sqnoe_xeoSe_z<xexxbxQ#S_bsfbxsSP1S'&Isf
$ xbe`Pfxxs@sSsSnxxb|TfePfb)L( @oS"x
SoxSsSonSP<qf

o"#bfwz#bSbxW>eo"fes@e_S|o`eooslwf_sTQ@wnePf xesb *
(xxQTf_bfS_x*Ss|osfe*sne`_o_xo_lxooexqb
bxeo

+
oexfxS,1& "`_xs_xes@obo"leS_x#xesb-( |<xS_l*f
nSoo<x`bxx"led bx`e_xdsP`_bsbo/.
0 S+ "oxoq|Ss_o|ee`b_xb*_s@xexs@q_foP723 89+1 6]f b_*Sqfb`1xe(43 56 x|xsoge%So T
0 `bnxs<e_qxfooe<3=<@@ _>!(6r Tesb
xS|n(feqo_o43 o: ;d6 xbsS_xo_onx
0 x@xsoS_xnSoo`_onSb-bx`ooS_5qfb`1xe?3 b@ BA)C!r6
0  xeQ fesx
zD b`  SEQ fesnneooF3BA9A BAHG IA/5!r6
0 f :@oo#exsslxxKPJMON%LNS+ xnn#So`"ob3BsA_x8 EBAH+
: o o> eIxA/b; BA!f@< IA/ o> ITA/b@es oG9C =GlefA S=_G9xG)6 xQST_xxbS@_oSoQJRLSS+

fexo W& `bHr( Nsnb`_xfT _xoqfSbxSzlQfNsnb`_xf]

0  sbSeneooF3BxA =G5]6
bQoxL@bS"SSsb>feQog|bgeTf_bTe73 G!8 GU: IA)G!]6 <SPf__1x:S(f_xxPTess
sS_`o`(TeoSsS_/@T Sbx_Sobff_sT1x(f@(f5So1"TSbS"_n`qf
_oqxLe_x
bf_SPfobS<_nfS_xbf*exxse|xxoSxnf3SoPTSSo__x
o_eeenefno__obb#fenfS8bf#xoqTeoxbx(oF:
+ oexx%S_xbdeo
xSo1xonSoof*-xoo_s"_Pqfozx3SgebTesboxqTSb
S_TVrO "fes@e_SQ_xs_T"d<xo_Sb_l3lJRLS8
+ xbsb"-eSneoo
xSbSeS_|oqxSPxW
ges(Te_xsnoeTx"bbgesSbFW& XL7>
(
>bosS_n:nSoo:1x:Sx__o
W
JMLN+ feoeSo(fo_(Sb-n` _o_-fb*|szQ<|x3_bxeefS_onnx@f
eoqf__3ebT
xSQe/Yo_S"1xTxso_oef_Ple_QeeLq3ox>xnosf_nosS_x
e%"fes8qP`3Soxes nss@x_x|PSSSZI& `[( _@_bo@oq6 1r_w-fx
@oqrxbfeese\
J
fe_S_x]l-1"TeoS"+ex ne1So(eS23 G9G!3
_SebLesS]JRLS+ Soo_%bfbxbeZ3BAH<BA)>oIA/@o=GCb G^A#6d1ze`Ss"
x3Sxnf3So"`1"TSbS"
_ `esowb _noeTx bosSogDebSqonSTx xge eoTfesb
Sxbe(xbfb_xzxb @one_fxno__Tesb|PbTx"of*Ses@PfexSD

`z/B]<"]:Lf23.5_q<q?3]L"NWWr
q] D<q T<`qsL+dl<Lf`d"qo]?5l]qL L"LWL<LTL` `q9 ] Nl]l]3s`e]"]lS"`Wf`lq

ba

Pa dc fe
ON8x_bfS"SS Pb_x(sl1x3G5!b6rTeoNx|S(bfo_x_fSS__sxslxQexoe#PszSonfoeoexo(_SgebxTSesg b  #hiS#bj* U#bk SPb_eo`
JMLN+P  !hbmH nho g !Qh[ !d g_sbze@one_fooexbsn>_nSb1xe+ `xD_Sxoso_eseob
Ss_PTS_xo snoeTx"xbbpTx-_nosPsqL Sqbnfe(b`"dr
Sx`o1exex(TSP-xbex`SSbe___fS_xb1oLS_x%f:leq
bSP]&1`Ses)(#ox%_eSLS_x%S*SbSoexbsnf%e`_o_#enos"zQ
e1SoeQe]3BA/;+
6 fbe1eQeoe_
_xeoSIxegPf>`_ee`Snb<xn`_no_-fsSebfS_xz1exSD
$
s eQoeS`bq1qfnQxe#bS_o-SeSod t feSx_bqSTqTe_xx`oxfesS@b
sSbxbfeeseb1o_qbson_x+eSP`|s"E
xno__Texo"of*bxb_*@|bSsbneS_oPfDeSx
u fS*ebTnSe*neoo !j SPfogegDeSqon  S*oePS_x
eoxeS"`xSS"Pf>o__g-qL eqonST-febbbsS_xbxs_lqfo_]I&
oSPQo__gQSqonQP:bf
`efbsH(>fb_sof:@bsos:eoe___fS_xb>neso
xTxofPSb<xneo|xef#xTxqfx`_nosPslx4NO wfSSPoPfeoexS
bnosPfS_xbwv fboTxeo"xEv oS`s@_o#_sbfS@`S(x+/Y bfS_xb
b_q_Qo"eefe1SSxooP`SPTe|bosSsSbSqbn7&IxsDx+oPq*xS
_no__geqon L( Rz

SoxSoQfbd@eoPxTfqfxz_QxDS@nSoILSbfSe
nSoo
oe`sefSo"nS_fS_x(lQneoesnzxb(Sbx_eeeB"x Tesby& 1
eS_oPfSeSbe_z` sbs_glbooofzoxS_x#bqQ1xoSPqL
eqo"-( 3bx:sn`bfSPfPTSSPSbxsoeSSoo1xqxbebS`(f__
esn-`Sebf*e`_o_1xnxeSxbo_`SPfS"qL eqo"
s Tx"ebfeoosx"l2&1feSPf(oSo_(sS Se|n3eoooe*,s_,| sP
eo_x@xSbnoS`es"@o_f_s%So8o_x@xS__xzA!{w
eob#f:esnneso_SbeSxF

+ x8eSxSbnx@xSbs8Sb`ex
bfq*xooeqPSs__fSSr&IofS|#1bSsSeo-e___fSxe|b<@_x
1bbLes|f+`Sqnoe_xQleS_xneso|fe_s ( 3oPnxx":sQ_nSSsbsS#x
bs*x@exx_qTeseqoo}Y os_xF
~ PqbxeoSx@SqfxPTese|___bfS
eo(_xosorQ&AH{|(xeeLesbOrSbS|xeeLesbo_8|_sn_bTe8SbnSe
nSooQxb_*exxQIx`x_noST*q
L
Sqbn
oe___fS_xoexbs _`ef_S"x1xSsno_Q

+ oexf  fo_sP|S_x rO
xSPSQ"xb`zSbxoef_s*SbbSos@So-`SesS&IxqTSb{9SoqTes
xbeoleS_xxb-eo_oge_xbxeSoe_)3
( PT1:lqfbb|fq5# o_`o_noP_f@neSsfofxS:_xs(,z3 GUo< G9>! 6
SsS_x-ePTes:SSoQo"5xSoSex5Q
Tfew
x>So#`exboxefboSxq*_sn_bTeSoPbSosPLz1Sesbqf__SS[Gooeo
xS_P-_:Sng1eoSez`ebT:eoz`Se_xP:oLS_#_nSbn_ooszfDSoSe
fnfSoesl(1xxw
|
bxnr+:bS"f  fbs__%xeswSbe___fS_xbfebsS__sn_bTe fb
fS
~ _qbxeb` @eex_fS_x obbo(qfb_AH{|r* x@xSb(Seo1& _ eoP
]?5L><3+-bfl"l LlW`l`qq<e"]`l`Sx]_L>]"W<l?5q]]
q<-q`q]]`qL ">L"q]TLe<WlLW<lN]WL<9:#C5N]qLlWlW
<`lqlW]`qDWW<llL]<WL`]lW<e
5"`W<]`qf`N@WTeW<L]leWL<+q]3"l ]q<:q]`q"]">B<WLfSq
D q"
`q]Lfq"W
`"`Wl< 3WW<<`WTeN]]qfLe]L#]<L"xq-Nl`>WLWz"]S:lL` l<ld
_ll +<]Ns<W<Wl<]]"qD q<
`q]T]IS9
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[


 
i JL[r[NG`R

AH{#|z [(
|&


xSfbxsSPxs_#@oT >xes@oo fbSQ"3bo`eo

@SqfxPTesfnsnoeTxQeo
x@xSbS
xosoQTe3bxnePfxesbSoSz_fbfSb
exs
efSofsoboslfef_
_SboSo_@So"fesqP`xo@
xS r#`(_eSso_nS<lb`SoneSnS_s(_So|efnnePTS_xnSgesS
eoPxobbfe1zf_
Ixzx|`bgqfo_#SobS o-x L
SSos"Seo
oxnsfQSxoqzf+Ss_PTS_x
PQsbxooexoePTS`sS_xo_ofeoleS_x 1SPf__
1SbnSPx xo_sPxoS_xbx`Pe_woqxLe_x3oe(eo|xS_%qP`
bS_o SboeS(f_1eLeswfSo :oexxbSP L bSo|Ss_PT
esbfee#bq`booee`"%fPS_%eo(nePf`f_sT_o@SqfxPTS_x
eqob o"QS(n"Lesx
onnosPfS_x8o8<xsbsofesSone_SPf%S_xz_8SenfboSxqP
ebTSb*@onfe`_o_Txso"-1So<xexx(ST#oe_xs_wge eo
@ozx:S_n`Sbs%SoSe doexosTS_xqfzo_x1x|xnSe_
<qfx bsxb bge`ox"le e8fb_*SoP(oexbs xo_o%eeq
o_ fS(f_s(@o#(xe`_o_<xsb1xneo<xexx*T(q o`_o
_SSxPTesb _SenPTe|Tf_ofe(o"o_#_#SbfobSxqs_
xon SPf o`S_x+n_s:SPoT (f@Tf_o"xonbex%eeq
x3fxq*o:oxeoneoen(sQxoP*s_xSn<<sS*eo
S(f_s"lzSSsbs-@ozx<xsb1xeo<qf IoPqs_3n1obS_xx w
eoSsS_x|xdSozoxf(feobfqfneq >SbfxfqfS:x@xSbSeo
xS_@oo _n`n@feoo]Ss_PTSSn(fbo"
N#S
oS_ ef_TSb
o_oxnPfxSe:neo-fbxbxo5Pebe`_x
xSbzoexbs f+Ss__fS_xb
1x fbs__xoS_xb NSL" #Qz"SS_zoq`_x
xSb o_g osSnSb@f5oSP_oS_xxoS_xb @of o"lesbQb<xS
(fbSQe1SnQ(foeT@_nf|s-_no_nefS_xfSo oss oge
P" +bT e-qo@SSooboxS_xDSoefbsxd<qfTf_o"
TxqnoxoT
e_ee_fS|lQ osxe_oTf_o:fbbT)eoS xSoexos"#Soxb_
exsge weleb@sbSo"`"
Pe`o":QoeSx(|_Q<xsTS_x|eqo
b_q_x_x"QSo-`-x _qfqo`@SqfxPTS_xSxePf3So IoT `n@fe
__o
SeS_xb5bx:eo
oexf|xSQx|fP`-s_nsTSSozo@xS
eS_x N|`"L" S1xe @o#x@onSPxS_ne1x :bS"fnfb
ne_fz`Pf*xoS_xbQsSes@ob@o_eeezoP<x<xexx_obxnbxS_o
eo|_bfb8x@exfxonSb@%ge%xSoe1SSo_geqTSbS
x_S|bS_`bSges@sS_ 1So `S L
bx :oexx*z`PfS_xbxonSo
P>#qIle>ebfn@sSSf_s#xsxSo:ex>neoos_b_o-lqfbbfq
nSoooxne_f(S_xbxbeSox@exQfdxo
So(P:SxnT
S_TTs
P
`S_so`bxs_#bqnIx`SSfSoxo_<Tf_Pfo_fsSebfS_xneodfeo
xooexq+ -b_b_S o

"NO v

IY

Mv

/Y

|( u Q&
H( s

UT 3BA#6

wY


&
R
|
-(
O HG
q
O

5

Y s
s
^.
I
x
,|
,&
b(
AHO {#| !8 w~ N+
w+
E& j( S+
EJRLS+
JMLN+
b:
_L? WQ<< x>l]l
]"<3"T
]]IldWeWWl`#q<@`Wz<><qq:r<dWlq]]lWWll`"]]L-@I <TWqDxlN sL@]>W<eWW<W]"9ol.L<WD"l<I QD<qrrWI`A"r"<Ll```
<"<l:<q:lL<N]l lTeW
W<LWle]L<`Nl#-W<B<]Lf`q#SqWL9Q.<]l<<NWL
]"llS<SDll`"WqL]">`q] Nl]l]>fL<"TqWW<>"LTq]L<Wl3qLW`eWL<DW<
?3l]`q`q]L9?+sWl7+]Tq]<WLN]]qxLeWLW<N]<DW<lWWTq <l]`qWL<Wd_L
?3l]`qD q"L"WL<S9

 W5[ : 
!"o 3 &"" xno IX
Iz"b!4r[j[%bbw%b

ba

Pa dc

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

ns_>b`Pfobf#fobSoSPTeS*`_ox_`SqDDos_s>nx@@sboT
e-eexb`PTeSn`":oSSozobS_@sb#PQ1xe_x|qfoefSzxxnngl
1ofno_x
QxbSP> QPxq qox_dQxePd<ge-SbQ`Sq xx_@sbsfroxe(f_szob
eoe_S]oSqfDn`bS

t _

F
&GIA)(
i"'iqj&7Z( 9V\ 
s ePSon_ee`efSx(SbnxS_@oxs@P%@_P8xb Sb(<xSPfx
xPTes_gliT _(`exboxedboxe(f_Bx sobS"S
o#b`foexsIxfS_xb
__x-esnNb#Qesn:xbSSSrob fee`_o_xo_sdbf
-bS_S"|oS
PSSSIxneo|e_S]oSqfxsesfy wosbxn_xSe3-SoTs
xoezAx4Ory Peo(fSoeglfeoS_x&Is xxe (L5Sbweo|enex
PTSSP
Sb_onf3SoeS_N R y{|2oT beSoesn-SsP"fePf_s"wC^AU/#-w
|

$_xleq(oSP/X\ fesnSsPSq { @So`Sq|TQSbb@esnSsP7 A

fgeozoi\ DxT DsSoexfo_ssS_RbbiEA
][boexS
_bbge_(nx@nqbxP:1xSo"`oexbxo_ssS_Qfb(SozIxSxqwX ebTQs_DoS
eoSe3xx_es#_eoes@obs_ng" `exboxeqoxPQ1x3eooexbxos_sS_
P
9Bi% AF
&G=G9(
exSbge
P~y~
&G 5U(
/9 9
z_bPfSQ-_s5S1e(Sb_qoxPx xSo" P~y~ Tf_oD`o`17
~ eu ldf~ So:oSb_bf`dSSos:b3 G9s;!or6 n_xfn@oxPdex#bso_oQ1x5f@&1S_fle@qrs bo<@ (

qbxP%xX zS Qf _xSoo"x-Sb8eS& L( rC^AU/#-w

|

CQ2u "T q bSo__q*QP` bxxoSsQ_P12+

o& S  "=f *(  f_&Dx oi S _x*( ge<xf3=Q&n\(6
I& oe3 ^6 (f\&nC^j[(( -oofexesbSs__fSSexbxSeSooP
ooS }" !d- g  !B# :
.
oo*leS_x7 nTQeefSPxs_xs*xoqf]@S_fS_x
e*So(o"fQSoneS(xQTxSz|w| S_bs(Sx_S_x8Seo_-oSo_ Poef
@Pr3 G@< =G>!6 (xSqfosbzeobfbT`S
Sbq(ST
eoz`Se_xxs<Xv 1
x@,|'v bob*_*SonPo_f3SoeST(TSbSslxNO feoQxqoqo@S
@ V V _x[&|]{w( y V V _x[&|]{w(   &G 8(
7.9` L<lWlLzWN<]<lqd]e]L<< WW5q<oeId]>l]LWNW"ql+d7qx9ll x9b].<<]q]<LX" Tq`q]< ]z"WllL]"_D"]qoL"9 ]`qWL<q


 
i JL[r[NG`R
(3,3)

(3,2)

(3,1)

(3,0)

FAU.

|?5o

3_xoe 3 osbxn_xbeSsS
x+eooT(TSbSslx

N& (  y

`bT eoPf__sofdeoesn`__fb

]| |

7
R
+

z| ]| i.
  ,| XX G s]|
~
 ( AH{|
&

b__nos_

oSSbfQ1
eo-leS_x
s_d_sLes(eo
nPo_of+eoSeT(TeoSslx@1@b
g_sdbfsrQ<(lQ|Sbl
nPo_o">oP:bsS__sn_bTeSs__fS_xb31 :bS"f fo_sPxoS_xb
_xo|Q#bS_xxbo SbxefSs :eo#Txso#fSb#xoS_x_s3s_
*SfqTS SSn@fS >oex"Q1xxfo w
3_xoe (fb (s__bleefS#SofTxe(fezf8xS_##Soo_sz
ebTeo-S_xTf_oxoef_o"`_onSb  <xsbx
sSo
l@oPf__
x@xS#q|Ix`S
ebfSoTf_o"
1x woS_|boS Tx"feoP
Pooe
De
xoo_@so PqbxeoSx@SqfxPTes S___bfSSb
ee(eo#x
Ses"@xex"5lblxIl IfenosIle xeo-o
Ses"olbxbS o
Neo
nSPxxSxsbxooexoePTS>Sgeso_of@SbSeePTes5eSoleS_xP
`bxs_#x_SSo(f_n`oefDe_sPTesbTb:ofeoxbsxo3o"fes-qP`
xbbofe oST@Pf_bbgl xSf_ Ix
oPq_x S osS_xbx
Ss_PTS_xdST:fe
ox3"xSx<oeSo(fo__eSso_x<ezs_nsTSQ_lqfboxeSe
xooeq+oP>D>P>bx`e_o_xS_oexoob"-o#eoxS_qPSoen_oP
Pfex
3soe |xb s_sleefSeoe_sPTesbebTe(f_geSo  qoxP

SG r5 b9
7AH{| ]|
| O
5

& | (

8 4:

d.l< 3<<NqT]<Ll
Lq< W>sLoqW<s<<l<WNdWLDqq@lLS<l]wW3q<qdD`*P<`N5T<"l`W_Ldd`Ls<"<
N]]qLLdq @oWq3`]q  l]+Te-o9bW</Pfs<l<`LNWLl
Tqd>dl <NT<lN"<q<]LSl-9b?3NWTq <q W<L W<DW<5SqW5sLqL"WL<`"WL
SqWlSLQTqW]l>L"WL<g5"`W]W<LqW]lN]"-]"L<-x<]lfrW<l]q]S] xL"<TqW
lxlN]nn
`q< WTWWIL]"`lLW]lN]L<, M
S -NW95 "e N9/]<`q]L"]<L"
`L"]<l>qlTq<WLS 9d/ l<lrqPfWqW<<lW3lL<frqLlWSq]"NWW`"`
q
lLl l:L3qW"Wq]lTq<WL-]L:fSdl>q5Sl-xlWTq<>< Tls<<NWL<L
F" NW9"xl`
9
#qLlW<<]:`]<We<QdIQrq<"Tq<]q-<W llL<q<"W`><s]]L WW<<Qlqql<l:q<e-
"q< 
Wl]lSsV<T qLI>]lNlen
5dW<< lT]lNsLW]
`L"]<lL< < ]"`q< f U_Ld<D3<W3Lq<l5, 
lWrqfLe]L9dAl:]lN`9"e 9 Q
sL+LW3<N]q3qfL"37rTq]"]LN]]qfLe]e Lq<9  5W<





ba

Pa dc

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

European Vanilla
Put Option

=0.5, r=0.1, q=0, T=4, K=70, S=100
8.4

Value

8.3

8.2

Nev_CRR_R0
Nev_MOT_R0
Nod_CRR_R0
Nod_MOT_R0
exact

8.1

0

100

200

PG^.V+

~ d/~ ]&   y( & P~y~
( X S

300

400

500

3_xoe
:bS"f xos_PoS_x-Txsox31bbLesxoSoQ@o#3fosbxn_x
esnS_o"_s_b`SqTS_oeo
oSPoeSfoSs_PTS_xdo`_oeo:eo <@
el oo_b`Ss
<xsb1x
DfbSosfbS-o%bS_o(Sb SPo_
x+eS
 qbxPf
fb*bS_S_ofb*o
SfqTSs

]|


European Vanilla
Put Option
=0.5, r=0.1, q=0, T=4, K=70, S=100
8.4

Value

8.3

8.2

Nev4_MOT_R1
Nod4_MOT_R1
Nev4_MOT_R0
Nod4_MOT_R0
exact

8.1

~ y5^.

0

50

100

NG &n~A)(
t _

150

 Z |

200

\X

3_xoe >_nbxoe oSoTsbSbf

sS(eo qo_f
of(S1xe
_qbxeb`%@eex_fS_x
z8xf8o
`bfqTe_Sxqf_xeIx`
x@xSbeeo-S_bo QPxq qox_Tf_of3SoS_x


 
i JL[r[NG`R

American Vanilla Put Option

=0.5, r=0.1, q=0, T=4, K=70, S=100
10.45

Nev4_MOT_R1
Nod4_MOT_R1
Nev4_MOT_R0
Nod4_MOT_R0
 exact

Value

10.44

10.43

10.42

10.41

0

  y8b. X

100

200

300

y5 _

400

500

3_xoe 3ozne_f(q`_xnfdxoe o e_sPTesbe(f_((sS(eo

 qbxPf
b-S|So-"fes*e_SoboxS _qfqo`@SqfxPTS_x
`S__s"xoQen#bqIx`Sx@exx

American Vanilla Put Option

=0.5, r=0.1, q=0, T=4, K=130, S=100
42.0

Value

41.9

Nev4_MOT_R1
Nod4_MOT_R1
Nev4_MOT_R0
Nod4_MOT_R0
exact

41.8

41.7

0

:^. ^(

100

200

300

400

500

&

3_xoe nofeonePf fo_sPooS_x>sS bfqfneq-qo` 1qTSb

boS"f__`SPxs_ 3Sx_x-ePfexzfe_@e_SbS_ooP_o
S#ePTes_
Pfexe___fS_xbSTfefno_goS1xe_o PqbfqoSx@SqfxPTes

"~

ba

Pa dc

xy ~PqbfqoSxweex_fS_xwP`S__Q"Les_ SbSbS|ebTngnoesb51

nl| +eo|Tf_o|xQeoS_xws`SeoxS_@oo s_ng"z
t
oT-eoefn
esnfg
xnossb"+eoS(f_osbzSs__fS_xbfx>fSYosSqf(Te_f_s_#eo
uebfse_(q#fofs_-f_xleoS:#fP@nfbeoxs-oSSoPgsD:&IePsbe|fo-o_s>xSeoz"xfb`#eeoof]
"AHf{#@e| bsz4S|S(q`PSSb_<oxSn1xsoe8- P@_+sSnqf_ebTxePPfTee8xsH@L(
@SqfxPTS_x+
," o X
+ W5[ :
+I )
o<xsbfbfSNb
S_x|f
`nS_n obonbosS_xx
xSooS`es"
x+eole@q(bSPbTe|ebflb`Qeooee`Sq,iq oxesb
xbSPe%soqxSPx+xonfebS*Sqxqos%xo(nxeYfSsl_osS_x
e(Sb`SqDS_xxoS_xbIf_5_Sb_fSxexoeSbY bfegl*sY b`S_xP
Sxn1xe x><qfx f3So-`Sq|T`es*_eobl"
rO :eon<xqfSxxneSPfSoxoS_x8xoPTxso"%xbf_SPf___8Sxn
SsSbfS_xbVrO ebT5If__<x b_eoQne_f-`s>o_
ePTes_"xSeTf_o
*o_oPfSexoS_b-n`efofqSe_<xexxzf+eo-`Sq|P j  ! #hbh x
] xSon@ox
e`_o_Tf_o"eonxxneSP#<qfx-f%effS7| lebP
( S(f_
bq`(f__QSbxzG bbfn_4A * |&n| A)( :o_@o_& lb`bfe_^

oxbx1xf_
e`_o_|Tf_oxSo xnSeP(<xqfS|x-eeq%fo S
nefS]w
|
Q|s"x`o xo_o ge @SqfxPTS_x S"qoo}Y bSb_(n_x
bST@P@Pfo_leefS(SnoePS_fS_xs|oexDxnSePzz`PfxoS_xb
bxeofesSone_(<qfxdxeo(feo#bfb5"xqbTes_
oSPxs_& 1
oSPTf_ofX ebTz_ 
( sSP`e(sDezTf_o-x>So#<qfxSS|
`SbSo@oeQf5SSsbsTf_oQf+So<xexxb|eoleq(_Q_|SbnPo_
x+eoSeQxoP1xxnos
||{9G G
&n5o=:9(
|
1]w
|

oefexd@o#x5Tf_o"f3So-<qfzT(fSoegl_
G Pz

bf
bfxSqxq|x+Sb_oSPf__|o_sb@of3Tf_o
s osfb osSF3BA#o6 `bxx"lezoexleefSS`s
eoP>oSo_NO lexf
osbSqxqfbxsSSsbs<xsb
feo<qfxQxbSP5xo_zxbeoeSqTS_x
Sf3Tf_oTqoR

SoSP`QzbSlqfbbfq(bxq@fq(ebeSs(STf_o
eo|S_xw o_oxnPf:eS9:
T boxTf_o|feo<qfxnP-o"SbfP
bfs8Soqfo_nfebS"`qTes#Tf_oQ`n_ee_fS_xo(qf___s
o_xsbsTT oSQoP-lb`_sze|leS"Seo1x_sT_o
0 TQt f_obbx_f@o_efeSeBx SsPofneo_ S(Troqqse#S_lxQ<]# Soqo@`SeSs_oP of_-exTof__:ofo3exboSebS<qTqSf_x
_`(xs@DoQe_sPTes#oexbs`ooPSbe1xeQof>S_xosx
o Tesbn`Se_xxbezeob<f_x_x"P z
@eo-Sxnxoo_s"
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

   





"!$#

%

&

'&


 
i JL[r[NG`R

)(

-f*bfsfexes@ob`_|f*o_eee_Sxnos"<qf

0 llo@P_Fx`fes_xb/3g
<x#_SxdSSoxo_@bsSb"SSSo>bPSSSoSsIx)fS_xx#>eoSexxqo<<xxb#efSoSSb1fx:e1xSsn__fSe__xbf
1S eoxS_(qPSzxoofex

0 `_ b_bxoP*xo_-xo#oesxeo_xS_xbe-bosPeeSIx"dSo`xSoPnSo
+



M&

fS#Sbfeo#nqfoP` @b_qSs_PTS_xfe-___bfS_zgDez1S
eoQxoPSbSS#s#Sooe@_xb3SLes1x
oS"f xo_sPS_x zo>SnxS
eoeQSoS"`S-nxsbs13`qosxPfxS"xSxb 1sQQ_xs ezQxo_
eSx_x
eo#Ss_PTS_x%oSo_ 1xS_xxesbSoxb_+
* fP`nfo_e*Sx_x-s1
xo_sPxoS_xb- , L>no_SPxo@PbST:eonqfoP` P:_b"(sS"Q
lbfbx%`_sS_xbx_Sbf_eoPxooeqSonoe_Sqo_#x
PofsnxSef"3] x3SoS_bxe_f@ogDeblQwSo
xb

Txso" 1olfbo w@1xebT(f`S 

H(

z P~y~

R 

&
]|
(
+} 4jb }z rdw Z !
oT "SS_zxo_nosnefS_xx+eozP"Sxeqo"fTxzsnxeexs]
0 S oo@TxSsoz"xef_3#S`ob_oS _x_T- eo_x _eLes xxb13"xq-b@oS&-(+xbS_o
& ( 7 & ( " CA9//# P &no5 ;U(
oe
^& Q( PQSb-`(f__`_SxSbqSbf
^& L(
0 o|(&-TL( _>#To# fs_oo_#ofe(e``__o_%_|Tfe_oensox"Soox<S_xqfx o(bf^Sb& #x-( _f_bo
SPSzenSo"`eS(fdTf_oxS_s_b`SqTes*boS;b
0 (u TT SbSslxeoeb_oenzeeoo(Tbf<_of(f_Q So(S_x@bqfqeoq`_x |lqfS-T
3=Q& 4(6w 1o*leS_xf_Tp o
3=Q&n (d6 1x TS_o(`Sesf_Tp o


/.

0

21

0

3

3%4

87

;

65

0

%

<; =?>A@ B

:9

2C

ED

FDG>AH)I

DJ>AH<I KDG>AH)I

L;-M3NPORQS?>AH<I
+L>AH)I

 >A@ B

P&

T
T

&

U &

fbSSn_oSoTf_o1f_V;#1xxsdo"xSb_lS_n-`_Px

]&-( X'CA9//#

)Y & (

o#eoq`_x`S%oSbx1x_sTos b`P` oSPf__eo

o
L
q bxnx_xW ; 1Sxoqfo_*fb@o
-Q
@oT eolQeSso_Tf_oX
?Y[ZG\ ]
^ fSb%<xexxf(Sob@(S_n%`_P
xDxeeSb_onS*fo%xTnTx-xSonleq o__ges1eo

.<`L"zf3L]ll_"WW<ld]<LW <<N<lfl<<l`
]<<`"9

N+

a`@cbedgf"x9#>Tl><qd"<]W<l

ba Pa dc
L
`_no_`#xSSo<xqf#PfQ1xe & * / (-{& A)(&WLl_T
oTQx (`ST
E A G & A)( \ =) A G & A)( =H &n5o <(
0 ooTZf_&o A9 *A)((_sxbo& SPxsA9_o(f tQfb"fQ>%s#xSohe d#] ef!bIs !"dj zeTo>%SobSe__xTf`_
eenso"nTf_oxeoS_x|fSo"`o"exqf_ ,& A9 AH
( T >( fb
fb & A9(5T
>o"`Tf_o>__ofex "& A9 AU
& A9U q(+eS"LS_xs (_s:eeoe%eoexsPfSo(@SqfxPTS_x
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

?Y[Z

)

L]
^

)

?YhZJ\ ][^

lj

ei
j
mj

m ]
^

kLY[Z

< Y[Z

<?][^

sT

0 Su oTTxQszofx+ebo`zxSbes`ex. bofq(bq@QxenoexffS_xn1So_&Il@bxoe7<9(1

,& U (w [- 3 ,& A9 A9 ( &Ai( & A9U (6 &no5 >U(
0 Soolqffbe_b*fq(qxP`oof"_sTQ*e@oPxsno S,P&x UWl @( @S_Sxo(PTfPs`osnof_>nSoef8Txs
oee`_x(xbSosnnPTe@e_STf_ox>oo"(leS_xf_Wx1xof
o_xeo_f`eQxoP3 S46

0 NOxo_eoPonxTof_ooQfQ>eoo#S`Sqbfxq@<xfqqofes_PdQee`_oq_(xbS_be_@ofSfenoobSIeY oooePe
1xeoxes ,&C^-C^ (
_fxnQx1_ox`e%oo
SnV|xSK>&-fe(Lsnebo u `SxeSxoSsTSrb@fo#bxxTfx__ox">rsneso"_ (WTqf_on_/x
s`#SSonn_bsf
SoSeso|eofeo#eSx
C xq eoe
Pxbs(oSe(sSbzqfo_xNO Sbofno_Qz_sxbSPPTSbezS_x
Txso"(fe*fPoPTe geos mHk bsoel@o_fTf_o"nfS| K& (
<<1S eofes*eoexoxf1 9x S(1 Sobefbd
z-Ix-|snnxe8`_bSo"d>ofeI& }( SbfQ%ofnxLebf__
b%S`SSZ Wqfo_-o-xbs ]exos"jb`_b(n@oT 1ex )YR&5b ;(T
eo ]S*Se(s*eo ]efbsTo"&-
(
xeeSbo
SboxbZ1& _}
(
ebTQo_
<xzS|e<xzSo ]exo_Q1xxoS_n-`_PTS_nx
`ooP|oes xnnQ|eogDeQlQTfe_xbsno_nqTesb
xDSooex s o_s osSz_ooqQ
neoS_fq u _soS@oxS_oxDS$o"S`P^]S3 G95!o6bx>tXbtSSf_oeefU(Yebo(fbsS_fxb_b]qfoJ:xQPxex- fxP SsoIx_&sPxb:(_ feb SoogPe3BPA#xr6&efeof(
ONxS3 _Ab6 fS_bs zefn &%(K & _ ( f &-(^&f  :( xS&`d"(Kn 1x(QfT_ o"
&f Q(LsONneSl_Xn3 G9z5!S6sPeo
j

< ;

j

F Y[Z

Xj

nj

F ]
^

F ;

;

3j

F

<

po

qo

<

pD

-j

j

pj

V >A@ B

L?>A@ B

t >A@ B

 >AH)I

s?>AH<I

+ >A@ B

u >AH<I

+ >AH<I

23"3<lS<SdNlST]IdTl5WI]LW5W<3Lq"`dq]<5L"WLed"<
gbwdxf:WlfLrqWq]]`
xNsL]>L"
`qzSlW+] W>W<%y>_rq<:e
cbGzdxf5 WzW<:<NL<>s]L <<gbwdxfN9


 
i JL[r[NG`R
(3,3)

Amax

(3,2)

Amin

(3,1)

(3,0)

M;.

&5-G9(

3_xoe + o_oxnPfSes_sleefS_oeoQbTeb3s"x_ozSzSoQnso_(ff-(T_nx
eSso_Tf_ox5eo-<xexxfo


(i+1 , j+1)

(i , j)

Aup
p

Ak
1-p

(i+1 , j)

Adw

r<. _

3_xoe
qo(fSPs_sleefS_x fSo%bxq@fq oexbxfS_x bS"oe1xneo
Txso(xfwS_xxes*b|oofb_Tx<ooxSs?>AH<Ifb
L>A@ B So-sq_ooxSSoTxso"f3So-<qfzbS_S"fs*ox

T

ba

Pa dc
e
xb &%(w xSqoS+qz o>neof_b
x#_e>xes(f

&
%

w
(

xxPfex3S@ro(oeSobSfD@SqfxPTes-eqoo}Yo _ bqSqboIYo"
QxeossS SosefbsqbxPn1x#So
| robbfSoxe_Sbxso >f
Pe`ooxPSbSS_3BA#6+xbZ3 G95!6r _seeoeenSoP_xSexx_sT
bSo_oeosSSxPTes(S-)Y Toseb@no_|&e oQ( egonq`_x_xn1bfSbo_beQbTz Soon_|x s
Sbf1xeo_l<qfx
xSnSs_xS_PfexzSf8SonPx`Ses"z_8So(eS"Les#qfo_Tesn|SsPQ A
&WLloxoSezEf<e(L`ONnSb_1oSSxoSMY ob`SS-_xf*S@Sqfb`xPPTes>3qsqTleof+fe_b]fbff_PeSeSS_Ifx fS_Sx_x( f
eo-<xexx`ooPQb` o-xb`QbooeoQfe_SS"les
o_eee_xz(xes@ob`_efno_<qfx
&NO oeLe_xoPxs<sSS"le
_|eo1xen"x5oq`b1xbqo(fe@sbfxnbfe_osDexooeqo
sPb`1ode|x`PQeo-es@obSsefno_*<xexxHL(
bx |{9 PS SSbSSesfn<xo_so<wfqfesn_" _ f e_x@ @A9/bo sS_xx eeSb_oe8esnSsP"
" A &  (i
&no5 @U(
|?z  So xSsobox_b*ds5Q`exSzese`e`SSbSsqfx S__bfbdxbeoQsSxxnbo*s_oSsSexsb#_sns
A & * i * / * * (i
&b5 BA)CU(
3 5<xxP8xSe_x
1bSsbfSnebT#So|<qfx"sSbfTxn/Y bfS_xb-S1
e(xLebf__|S"f_Bx Tf_ox5eo-<xexxxqTSbQSbxfSe 7 E& ( #ff
Wqfo_x xeS"`xbososbeo(`bbSS_q \x b<xYosS(sDen"fo_o
ebf (_ @@e1SesbSSo D]Sefno_sb#x_fb,] We(S_nSsPeSLes_x 6
ogDelQ bxs|_eeeB"x TesxSo*xes@oo <xexx+x#s
)Y^&5o @U(xb-eo"`_noeTxos4&5bBA)CU(5PMQ&%A!{|z( _ sQQ__obSQ@SqfxPT
es#neoo5Sz_sn_bTeSA!{| xeS"Lesb"s3P3of>x@@sbdebT>eoe
P3#bqs
_bSso|xsnoeTx"PeeSIx fS_xf3Sb#es@ob <xexx>be_nbS_xedo
e`Ss_ST&5oIA/C(>bx(TfexxTx#bf_xo_eeeBx"TS_xx
If
Q&AH{#|z( eSe( fePz_%xboeoex3rO xSbSSbSQsogSfooxsnooeT
xQs_d`z8nfoSsePbfq__`x@W& SfbT
eob`f
&no5 IA/C
x_Sn`"x(xqeex_fS_xbxxoo_s"d
ofeo,Y o"les xebSbsee_fS_x s Sb ]efbs" _ bxoP bS
__ox#xQY bxqTe_n_SSxPTes u f_x_xY befSPnsee_fS_xwPs"fesoe
1Sqfbsbxs_xbSQ& (qTSbSfQ& (eSe7&1o4|(L s TQxeo
Y o"lesfe_So*So"`-`@nSxSP_<lqfSS(o_dP>
J
ebf
eoePn_ff
S oxPS/
,
v :e___fSxe-b<@_xq,v 1x
efSTxso":x +oSxesbFY xqTe_
_SSxPTes|1ex _onDS_x_oeLe_
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

{ >A@ B

| >AH<I

'7

;-M:NwO

?LY[Z

}?][^

~,

) 

)

L

X8; =

tD

X;

);

%

j

3,

e7

w7

V7

2,

C+q]WTe+ ]]<r"L`:q: L<

q]Tq]< gW<>Lq<l+q:  fc bedf"dq<
 gbedf"
]<:q"<]L<We]:q<"``9o?]qDW`qWq<<l]]<:`ql<eWLq:-[ F(_WLWf9

%
 
i JL[r[NG`R

European Asian
Call for N=40

European Asian
Call for N=40

=0.2, r=0.09, q=0, T=0.4, K=90, S=100

11.5250

=0.2, r=0.09, q=0, T=0.4, K=90, S=100

12.4

A1_ip1_h0
A1_ip1_h1
A1_ip2_h0
exact

11.5245

A1_ip1_h0
A1_ip1_h1
A1_ip2_h0
exact

12.2

Value

Value

12.0
11.5240

11.8

11.5235
11.6

11.5230

0.0005

0.001

0.0015

11.4

0.002

0.02

0.04

8_3C_Sx1oSxe#]xSP>^(T.efsON_s_b&1`_S&1q_ATS_(xC% fxf8zeSPSbfo-e x_bG b&ICUS(L_x

b(LbxtQ_S"8x`Pqb#SqPfx fnobxxSSoS__xo# *nTs_fo_e"oof#( xfbfno_YnoxeT| qT_eo_
x@xSbs V. x_o_fSSoTf_ofeozS_xgeSP|Sbxsb xbG
_8Son_x r_eLes8xb%@SqfxPTS#S *
C xeSonso]Y bxqTe_b
+no_nSo&1Pf_s"%_A A)(zP#bq`eSfs_o"fsee_fS_x%b
bfzx@xz|_S"LNY befSPsee_fS_xKNO f_5xSQ-bS*eo#_noeTx
o_eeeB"x TS_xf3So-xS_@oo xSsSbSP<xexxW& bfS"FA)(
5xb`QSo"`_l7Y b`S_xb-<x#`Sbos"Sooe_-f
z`Pf%xesb
1bbLesfdeoxe_|Sb_o |1xo"|@o#Qf+S_esoP|wofno_P
SoTn_nbxoe
b> 3oP
xbnfeo
ofno_
sbo_TSSbf
nSbxonSoSP
Sxn
S oxPS/
CGs&1_Swb(Sbxes`|Tfx#sob|xb(*e1oobS`_@xnfe fSP5ng-PqTeeToes-bS-(bfx_PW3fb@8Se1xne_xbxos_]


C
rO -P-x#bSsbe`nSbf1x-Pfex
W& f_le@_xS#e|e_Tx_oeLe_)(
eoob@SqfxPTexes(Tf_on:exbxo_#_sbf
efSoSbxY bxqTe__ +
_s_b`SqTe_Sb#eszbfs:fboeE>o u SSos"Sbeo-xoe#fPS`bTST
YbqTSP_SexPTS_x%_`S_s>xS"LS_xs`booee`_oPTSSPnfSSsIxeoS
eo-PSSSoeQf3So r_eLes
s_do1`e*xs<
`7Y bxqTe_z_ee_fS_xl*<xsbQsSb 
qfo_/TT eo_:sboe>fTxSo"xxos-xRGC fee__oxsSSxPTes
Ore/Y o_eWqfog_(eobxe-%xPo|_ol_Q oSe_eSQ(xb|S(fs_ooxb-*_fe_xeb_SfoS8_x u |x_SSoe8xoPTsbS_xxn_xP
eSx
~
xsx_S ebT_ 1 oS_xbxxSSb_SSxPTes_exs_ f
@SqfxPTS_x+
+ + 7b%dqV
M Z%Ebw 7b ^ [9wHd A!{|
rO QS"esse@*bxq`e  jx x5xb Tf3BA/>
6 Sbf x(C be-ef#lbL`exe
fe1o3_8oT xo#efzSbxS_@oo _sns/+
T
bf-f@4|

__@xexQeSozxeeL
xbS3onfP`e(xS#Sbf:SoP_oSo_)1xeo
/7
s7

%7

u7

k

7

/7

U7

|7

?7

7



Rj

/j

 g

 

 Gz

+7

0.06

ba Pa dc

xooeq*xSlX3 G56]oeeoqbxP 
A!{ | _z(xoeSS
>x@oST@P
@onSPx@_bST>SoQneo#xX3 G5!6@xex"dezTf_o"+ebT:xS
bfEYosSxeS"LsSooxoesxexbo""Sefe%bsS_xb1x#x@xSbxS
S_s"nxQsz3BA/>6o1x
SozlxbqfbxSF&1x bxSo`x\Y bqTSP_SexPTS_x
PzofzxbSPe(SoszS"`bgqzSox`ST #hb xbsS_x1xzx@xSbx
x_SsxbxSxPQS|qb`xS@nSxSPf__  &|( lA!{|' oC
Sz`@e_eTesQ_oS(bS
, &|r(w A | { ge PA/CUC^ F &b5 BAUA)(
b_PbS_`S:sSeoS_S"`@nSxSPb<@sfboee 1ex xSS_o
e@_xS#1#`(xsR| (<xIxSxeSo(TSbex
Sf_ fQSb(s
oseS_x@sSebso|Sobfqfne *xTxoPzbxSooqxLe_f+Tfexx
ebTz1xx_xr| f Sonlf:Tf_o_oxxes_s>exoo_eoefn1
xsdS_x
A_!_{w| s3-_bbfxb_s_Ee+:/-Y ooexx_Sn"zxSS xnn exoo#_sbPSTbxos_"xS_xxY (o_f`
Se_xoo_of1xx>eno TPf fX
&1Sx(e"oxnnS1xxSeee Leeoso-bexs@_SxefexSSoe")_(|fS1e_xx*n s
Qxeof#xSo:_SosS_xsST+eoSxeS"Lesb+Soxb_qfx
So
1xe fbTQ
Se__4AH{#|2. @oT ST:eooePPeoSx_S_x(xd#lqfboxeJMLN
+ obsox
nPfnSb@SeSbo:Sn#`qf_(bosSsSbeqonx5fboS<_(TS_oeo
xS_@oolJRLS
+ _ _bQsbS_x#)Y bTesb+SnxS-5bxN`n@fe-_oge_xxbogesb
_b`exqfoxbS_(-ffoo_|sefefPo_bQS(ePTe_f`SP-oe_fS_x7W& o 
ogeogDeb (>exS_@oo e_<fS_x"xb|b_bSbfeoosbxn_xTxsof
eo|S_xwse-1S sexes@oo Tf_o|@8TQ#Ses"_So|PTSSPSbL
_o4
!
A

{
|
w
* z

@_x`_gQxoPe/Y o_Sn`n#DxSS*nxxSo"`nfexbe
e_xxex
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

q7u

-

7 =7

K7

m7

k

oSnfelQPSSo"zxno__TS_oSonfbosPfS_xx:SbSfexbexx
eo-fTx_SosS_x_]Sneo#SPfxesbQ-fe_SS"le*s+3sq`ff_WoQ
ooxb<x*S_bso_oxnPfn]+Ssb#eoen_xofeoTfe_xo_xDSbn<qf
#@x(oPq(SbzS_x|Txsozbb:oPQ`ooP|`_no__nSxoogesbfeSe
xxq|
7 e7 1ns_ox bxqTe_ -_SSxPTes s So/
jWqfo_ 1o_bo_xo
TQq-fR
7  sS xonqoxP*f
7
eoSeSefexSoefn`@nefSP
1S x:Sozxo":Qb<f_S"xx`Pe Q(fesosSxS:oeoL
eSosefe-@oTDQx%bS_SxnfSb@onePf3eSogqbS"`e_eo
b@:`"LS_x#1x :bS"f#z`Pfxesb>x3oeT@__oleSoznosePf@PbQST
eo-SeS_xbQfes"*T`S__
Ifs"x`1xSbbe`1 SS( L
"b_xff-nxeSsSPxs_x<xoS_xb>x-b<
Tfesbd1"TeoS"3o_q#sno_ST
eo_Q<xsbQfe
pm8 feS_q"fesqPS1fSoe

0
1
xnos_nSxosS_xfb_o f_ges"xb|b`Sqf_q 1__xeo
gi
1x3nePf#xesb dSbf bxssefS_x_qbfoSb
bfSoe
xSooSo_

bZb( & )(

&nY

V&n)|r( ( Xt
+
AH{|&
_
h[q! !h7
) Y h g ! g t
-( XY
 h g !h

&

y&

(
"/o ^ !nh 

`Lq?3<Nl]D<q< xlTDW<3q f S<dlld]5lWL"`zW<]S"+3+e]IT]el+3WW<TzqlG S c< JL9bMP\s?3ULRT W[d<rLe W W<f`l]Tq<Wd<"q"d<LLLq<`q"" l L lW<lr"q<

]W<>]<e5W<lqWQ]"[NULi c"M_\_ULRT[d< xl+]"rQf`dl5W`Wlj lI9@ e e_LN"q<L9
P

z(


 
i JL[r[NG`R

ON8bSbS|snon_ex_Sfon`ezxfoonxse"xsbS*fSfTNxxs1_z P-S- SS Ix"h zg !JRLSk +

izj fB% o+f1xnfxonbso_s
x@nSS_xo"wxS_s51xbxSese-g_T#_l`8S8xo"S-So1xe
xSbo SeS_xb1& bxn_ AH{ | sS%fPoPfbs*@|_43 5A#6L( :b1
ne_f S_xb#Sb__bq bxeZtxSwwSo*eoeSefS_xwxSo*xS_
qP`|bS_o f  fo_sPS_x#_wSS(feo*fe_8@e_S|xoofe 3 5GH6
sS(oPfbS_os-SbfSb#_xosoxeeLesbxS-`S_sPAH{#w
| *j3* bzebT`obs"x_o
xeS"LesbxSPfexebfZAH{#|zfbSbxb_x_@so_xR|w
+ bse_f_sneoe__gSS_Y b`S_x|ebTeos"x_onxeeLesbQfeA!{| x_S-1

ne_f  fo___xbS_xwxesb1& sSbx#feS_q-( oSon1S fQSb`b

__oxeeLesb3_>bqnbfq>S__oboSs#no_SPxoxexoo u xSST
eoSY o`S_xbxSe_Tf1xxsDbbge-gDeSqbnof>lb`Seneoo
bx*SnxS1oPSbSS_x%xQf_lSb__o*xeS"Lesb_<xS_xzx
bSxqo"
x3oeP_o(S_xS_xbQe1Qez3 A)@!r6
+ 5 [ )U [ d
HiUH
z#eo|bfQ_nnfore _qTe2Q
t sbx| n_xQz`PPfebbe`I& "NQt fS-( TxnxS1o xQS
bT "SS_oT QS1xe eex_fS_xbQ_2AH{#w
+
A!{ow| exfoofbxwSoSS1PxexNl#l@_|_sn_Sb_Txewx@e*s`bexbeooxe_*@sebexx_efeS_LxesSb-qbxoSI(Y ox"e+1o
oS_ |S"xsdoT SoPQxe
$ _x-fsexS_o`)Y bb |E "SSon@oT8STeo1obS_xx_Se`

xf*bxbSsx+Sb1xe
&n| ( | | / sS
C &b5 BAHG9(
&n|E( P
-xbT1xe o S/Y ob M& (&|n( 1ex
& (#&|( | &|E| (q Z| | * * &n|E * ( ! Q&%A!{| (i &b5 BA)5U(
b_>oe"oefoT geqTe#S4` fw
uof_e-STQTqS/oT Pg-_x"oP8Qxxe_Ss@sSx_xf#@_x`f`egefo:(Db1xSbbSQsobfNn@rO:o__x<(@>ofonXxAHz{#o|bs%<S-)xYeebSs"_eLSn_xx_x
PQST@oT Soxoqf1S x+eobxb`_x+>bSo-xToeex
efS"SxexS_"@eoxbs(_snsefS_x*so(exbb_oSexqoPq*xSbxs_

xnSexrO PSbe1xe(_xSex-S@oT eo|xe_x_bf

S/Y ob

&
|
(
YosSNO -oqxoLeef_Ss olb_f_sbSS/Y ob" X| ngeZ| G| 17 nA fb
|E@,Sq foGxPT5 S_xx+#SOrSbSxbboF: e*Qox|exo(s(xb_oSs"Qoe_n3__%x_nSoweTS_o1eSS"one%* x~exPqbbx-eoxSx

 c / )

3

G

US

| w

|i

=

t

Se_QgenbTbxbSs

`d<` ]/q_q elee`T9 W<5lqlzWTlfll<]`l S"<"5=qQflWWLTq+l] W`llW<:]<"xLWl



Pa dc

QA!{|

w~

<

~AUT

xq#Seooexbs)TbfbxQs_xs<3b`be``rxq _qfqo`@Sqff

P Tes|es_nsbfSSb
xeeLesb5oSes"Sexsbs_DPf_s"
eoxe_x_bf]@oo@eex_fS*Ses"s_S1eS"(S| o:bx
oS"fxesb
Q_sfP`f_Q<>S1xe Sxb@rxq _qfqo`n@SqfxPTese-___bfSeo
xeS"LS_x@x_@sbnSes"
bxnSPxSPf*xesbQof@oT eo1xe f5So-Soo__oxeS"L
esbQ`-Q__1S lQ#Ses":xsb#xb Nxozxe`bSoSeS_xb
xS
#_ eo :oexx xSx @oT ebT(Tn_x`ns `*`"-eo_P
*xe`boS_x3`_bneo(Tf_o(ffwnSPxf|xSbgeexS_ss`
bf]+ese
oexfwxoS-bx`" 5fexs#xoes`sl%QfPSSeSbx`
SonesebTSbSoo__oxeS"LesbxS
s
SoPPQxSoPfex"l
eSso_Soo__o8xeS"LS_xwof s(fsbx *PfQSo*eSogesb8S o
]
fSebT(x_oSoexbSSonS_xfxoSo-Soo_sbnxeS"Lesbo"
bfo`SeTeox@xSbfSbSes"e|SbeszfbSQ" Neo#QxqlxS-s
n_xSsT Sbxq:f@xexbfob`f_sofxnSbf @xbsSoz`obs"x_o
qTeo#Sbx _xoso8xeeLesbxSo`S_#s_QTDS bs"S#Soxessf
Se_DPox+xSxoqTSsbT_-@onePf`b`s+Pdeoe1S osS:fe_e
fnfSoso1o:Q_sDS
So_<sSTxS_xb:S"xSxbxosoeS
x
Soo__o(xeeLesboS1xe _ofoe_S_(@oT

A!{|z
AH{#|z
4+
)Y
E+
~FA u

ba

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

~
G w~

~yC y+

"~A XO

]1 QAH{^&| R|r(#T

/Y

/yT O W

wY

)H
bx  fo___ xesbSoSfe%x@@_xbQ<f#"les(Tesb eo8S w
sSbs o_oxnPfzSeTo ee `Z&W`8 S3 5U:o GU:H6(L o_*fboSxq s
"les(fSf>So-Soe-STS_ G9 fbz beSLes_xyzo-x5eo
b_SPrDef3xo7A!{| @SqfxPTes|_QebTsfP`nfoSx(fSPf__(@SqfxPTe
eoxe
e Co

z
ob`|nSxS1o1xbTerob|xesbSsboT SoS_x
bSP-boof:llx*Soleq
oS_xxesboSb-xe@y f :o1
ofno_xxxSonx>S_TTes>sSnS"`>SF%f>o - _ _b
8fb Tfe
1ex o(eos xeS_fS"8(xoo#So*x_o_fS_xfeo|SsSo_
bson_x@Se_>bT nxe`ooS_x>oefeQTxS_xb3<3xSob#SoP>oexo_wz

o
PSb|lqfboxefboSxqxQ@SsbeonSe|S_sesSoTes#esn>`*ST
eoe-feSbSozTesn#SsP bC ooPqxo-fxsdqfS|#Teo#efn
<qf y >ofeoPSn`obxq@fq(ebeSseqonz1xSoS_TTS_xf
eoS_x(Txsozge|eS"L
e#SxnbxexnS:_|oxS_#eozefnzQ<x1:eo
S_xTxsogq`gS1& x bSoTf_of(TSbSsl_zxqf_o@*ex@so|Sone_<fS_x
x+eob<xx3e)L(
_soxooqSoeoS(TSSqoexo5lblQsQxSo`_nosPfS_xb
ST
xSPS1QSo`zf5xS_@oxbQefno_soNO SoP`zxox_oge_xsIx zSbzS_x
sS x@%Tf_on1x#So<xqfx"rO #__
b<(oD#seoxS_@oo s_ng):
T gq
xSe_oS_x_QeTo(@Sbz_bosSs((xnxSoTf_o"xSesbS_o-e-eo
+ Sq

F -

l

|

?

eoobso<qfx+o"L:fSb_P>ebT:Qox:b<xSQxeS-xex@soeo


 
i JL[r[NG`R

r 
 N
& y{ |( ,&%A9/ A9 E&%AUAH&(d/(X (^i& A9jC &%A9-CU(%/(
&5bBA/8(
_SS(xeoxoS_xnTf_of:oy&A9-CU>
( f&(A9/SA)L( e> Sobf"`x_exes_nsT& S"CU@(
ogDq1ex So*fTxnoee`_x@8xQ&y{|r
@SqfxPTS_x+
eon`bSges@sS_f f_Q<QfPoPTe oge*ogDeb|1ex os
xe_on<xsbf3Sbbfqfne_4Y b`S_x _ _bxoneo@ox`o1S
Sooe_xb3e___fS_xb3xSbqoSo_(fSo"`QbosSogDeb3_soyYosSxoqTex

S_TTes_
xbuwTb@"u-o o1xofno_x-fbSSolqfboxe
1SoP-e|fPb_fSg `1S sSo_ nno_oxnPfDSe
j

U^

F

 X , 

<

 TI d"53 n3 TW ( " o &5"I

obe`:@one_fb`Ss":Q`1Sn"Qefdoq`_eLeSTfqo>eg1
_oeozxeS"Leoefo
nSo|xb(sesno_nqTS_x+>bzQ:egSSs
xb`_oeo qfbbfq5noPTe _oqfe 31
o_"eT1fn|_
fb__o-fd@onePffb(qbxeLe:feq<@ Wx:ebS"`e@#eoL
n:nG:{G3{
xbU
h{Pxe`"  bx`e_oPfDxSzxzn-eS_n #eon 1S_"
<xP_o@_xb_o|sb_ 3(xsn8nxe#1 _o_sslSxs_T`%o_f
qTesfTfesbf_xSsSbP>fbbfb_xxbxexnSe zo@onSPxfS"`bgq ofe
_T Qexqf_ox
>esb
Sboo_o  T +s@
NxbbSPxleb_Qb`"Soe_ees"<@soT`rf #S ob"
5

-( u

1 K,& & _ 1(

Bx

]
&
(T
 "~ s
1 4V: =Y G *%
Q

8
9
:
C
F
x
J


O
K
O
P
J

z

s
O
%G /Y .
| '5^j8 :K;^j>A)C^
AHG/A/;^ GCMG!8bj5UG^8C^R8>^-;8->9CR@9;A)G9>^/A/;9C/- &8 BAH:9(
&Is(Sxqn`bq`">SobS`/eYxo`beo``bSf_qTefR_x| o;U(Xo~x_qbbxsebbe`o-bq`eexTf_o_f#S__xS_b~
S(G 1xSene_
Qxb_-1xy| A)Gfb*bSeSogqQ1S | A)G^j;^-5^TSb-o@1y| lA);Qxb_
`|?lA);^->^8 ex
Nneo_be`o_xqTexe#lebfDxo:nSons
_:b`1ooe-b`P:`bq(Pfex
O
@o(f7| Tf_o""f`oPTefo I& (1oLS_xxS|r
( _ eo@eex_fS
Se_Sex(x-`1oqo"qfx@xSbxbfP8_woeT@__oeex`S_(TS"
1:eobbxeSose3bxS"fs]Qxe_fbosPfS_xb:xoz_xoPebT`"b@rxq
~@_SqqbfxexbP`TS _x@xS]qf|?xPlTeA)s;^ j>bx S<eon_Sxoe8oeT@s_e]S||_5UG^xA);^ojb> qxxx*  bq``rxq

_sQbSxo@bf_Bx obgq-1S_xwbxexnSe_Qxesb#xS|_osSPTe

fS_ 
&W`n S_n__yQiC Pexb1bx%e#(e_xfbSSsoSl"e^`(L fq Tes (- onfnoon_s#osfSPfS:b`STqfe_bxbSP#SsS_s:bs(z`oPfx S"x%e@sb
Qf <xsbsS xonfobSxq.

+ oS"fxnnePfor`l@sqP`>o x
`nT qD] "dqW]TllLQWTqWfQ]L]<qL5` W:5] Wl#]" ]@ ]s]qL#qqW<]qlo SqldW<lL<<]WLL"9]q#<Kl "q:]qWq<lb]"ls]L`]q]]e<WlL]L`
L"<` xlW`<Wl 
Tq]"dq]
<]`"<lW<Qq]<LW>+<l]N_lW] WzqW<l>W`W< WS9>/-q`q]Lx]"M <qW`D
]ld]"L<<WS<:QWL lLTqW]LLzW<L]<lIqsP < ]"<>NlP9

ba

Pa dc

TesbleS_x3PeeSx#xS_@oxb#Sxbs_ob>_<<xexx_ob+f`x-x]So
no`Se_xPz@@sbSsofxs+xosTS_xf-b`PS"\ToQ__5fPSbf
o_ebe(PSSS_@_obo|oexSoox Sbe_(bwoSo_ _Se@ob_owPSSS
bS`esbfd_@_bo_xo1qfnQxeD
z__x_S-oxQbS_:eoxSoSeoxes(Q
_osSPf_Bx |fQSxnS_n
1SSobSe Cboz<xf*s_So_@xx_xz-Q_xS"|`b feo@oT
<qf
o_b
osS_xbxxSesbS_xb1S)PTeesnqrO P:"xS-S`SbfN& 1
b@"8`Se_xxesb-(eo_#xSnf(S"b"efxes8_osSPf_Bx T *
C
@
ns1@soeo-leS_xxbxeeLesb-Sbxes*bSP@#osS_o__TesIxLex"
5I S H9Hb !b Kq
NO weoPxbSoo@n`o`"LS_xwQ___Se`S"s xes@ob-efno_sobT
o_eee_Sxnos"z`Pf*xoS_xb_s+-xbS_oesSL"b8 b8
oxbsLes@oTeSosePls%So":
+ bS"f`U. xxneSP#<qf
z`PfwS_x-fbx e`Ses|S_xwxesb qo"qx"%ebTSoxS_se_x
oxLeSogqQ1xxnSe_S_xbxoS_xb73BA9A#+
6 f*eoebSno_x*oS"P`_x
@xonSo2&1sSeo-@_xbnsfS_xbsSb51Sb#`fxnSe_
<qfsoL( u fe*Sbf|sxb|fooeq eo`*fxxneSP<qfso8_n_o
<w`_no_Sbx ebT(ffegeonSP<xexx_ob>`8Sb*Se_`oST@P
bx]Ses@Pfdqo"q|f5Soneofb*sex@xSboexSS_
NO bxbSK
@
Q`oT So@xexb
fzl@oPfxS:STfqo5gq>ox3TxsoQsS
bz&~yC(QxbqlSN&~FA)(f*Sxb]e&~
GU(Q@SqfxPTes u xSebT1x_x|
eoxe_`x_o se@|IxSxxq#
: lSolQo_fqsSb_QboexRG z eoo
fqs8`-sDeb(s~y
C
F~(
A
lQeonlQoex"bex1xF~

S_xTf_o(TF| GU:;_lQlS_ns`ze*So(LTf_ongxonbSzeo
S(f_sTf_of +>bS"`ose1SSb`(xs_:Txso"f zI& s
o_f
( ofze_xx`QPlbe<x
sSrAH{|  
*
xeS"Lesb:Te ]S|e:@eex_fS_x(Pxoo_s"dP3=z

bx1xn`n@feoT`r_<b<@_x_eo_QxoexbfPQSfb@S_o
e@#bq.
1x#S(f_R| So`@nefSPnb<@_x-@-ofxoo_i5
T
1-Pfex",
|
fb
bsoS]eoQ@SqfxPTesexobosonSexq
xne_Tf 6
z`@nSxSPxs_xQ1xxS Pfex4| xb seo%f`bxexosbweSe:eo
oexn_xS o_fq(_sx@xSsSeo%efnxqneSo%ox|<xsbx
SDoTxSbfqb`_oS@Pfexf 8eSogqs8eefSP-fb8`_T@xexb
1& 1x~
GU
( 1x|"SS_osTf_o"nfw| ~ xbxo_ S"f@sbbqb`_oS@Pfexf
_Seb",SoxPS/o7ON%SoP`bSxbxbS@|_s_b`SqTexoxS__SnxSfxozeo
_n`qfbxbefS*sosSPfTxso"noTSSoS_oSwfbos osoSrxq@
eex_fS_x*nSb@bP
t So-efnexxooTQ"SoPboS-SoTQebTs-xS
_SS"le-_#nefSxoqx<xeoxo>_xWfe<xTs>_xnxeQ|_
e-bSPfex:Tf_of rI& f(SfblblK~
A _b`Snf~
GU(. f|be-x !C^ C^A
Pxoef_o"*xbxesnIx`S_*Soe_xSbx*_So_fodf3bxoe7o@
u @QQeoe |S#s_+Soxs<`zf5"xfSsSSbxSsSSbPzS`PPf|S_xS_oxbo
o_sSexse_`TSee_*xEfeW& fobe|1_SS) (
bT x e S_x
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[



/ +

=4

7

V7

V7

}D

+7


 
i JL[r[NG`R
(

European Geometric
Asian Call
10

European Geometric
Asian Call

=0.3, r=0.1, q=0, T=1, K=110, S=100

10

10

10

|VVexact|

|VVexact|

=0.3, r=0.1, q=0, T=1, K=110, S=100

10

a=0.002, CRR, R0

10

10

a=0.01, CRR, R0

10

a=0.002, CRR, R1

a=0.01, CRR, R1

a=0.002, CRR, R2
8

10

a=0.01, CRR, R2
8

10

100

1000

10

10

100

1000

@r.t
2&~
CU(
E&~FA)(


&
N
~
9
G
N
(
~
8b 8U8UCA):9:UGA)C
T
]|
s eSoLTf_oPQSes@Pf_s|exsb*x
[ A U i I&#S\Z% (% A
&8BA);U(
be#eo(LqTes%Tf_o %/ _qfx%_%eo(e_S]oSqf3n`oex u xSnST
eooLfbSQ__bbx NO *qfo_ASoT SboxxbS@eSogq
exsb*gexoz_qTS"tQ_oxnPf+z`Pfneo*szCb @fR PJ W S_n,&1`_o
 C CUCUG _|/Y i&b5 BAUA)(( xb(eSose
1S eoz_sSqTeoex *%NrO QPQ_f"xb|xben
@ feoS"`ose|of*S`e oexebT1x*x_xoe xo|nSo s
xbSeQ(f@|eeQx5(fogebIle"
xqfbo_foeSefS_x#xbxb3eSose51xqx e`Sesz`Pfb>P3x_x#_#boeNA)oC
SoT eSose`_oSb`bxs/&INCU(>xbSosnoeTx"&WFA)(:_eeeBx"Tesxeo
3_xoe
x@ex(fzxnSePSPf S_x <xsbx
fPoPTewsS So
_qTe Q_oxnPfneodeTQxebeo(oxTxso(sSo
fbq``
zSxb@rxq
_qfqo`@SqfxPTeso#L<xsbPfooe<s(fS_
1xSbbxexSe
sbo_TS"doo_nogDeblQ(So_fb
e_xo_f_Sb#xeP`x_o|_eo#_xN_S"Les Dg_b-S_n`(xs_zxeo
_1x_x w

&

&

&

&

xS_@ox|fegeone_<qf eo8efnexs #bSsbx_xf T|bq``_x

x1`_ox_xQ Sbxo 1(Sbooeex_fS" eSoseneosnoeTx" <qfP
s"fes8x@ex_obqIx`S"eoP_-ofeo`(fS-be`xq@SqfxPTS_x
x xoo_s"dwoeSx_es feo_bxe<_#Sbfeo*xo_
eSe#s
eoP(xSxn*1S SoobsnoeTx" <xexx N feonQxqo:So 8S"`bgqns
eoesS]fbosxf3bxoe xo_|b<
SeS_xb
S|`ex`sS bo

QA/C

Q&AH{#Z|zO (

4AH~y{|C
T

`< ]#l ]<L/"z feeLdW<5LlL+]WWTlelQ3_LWWlQ+<qzsLfQL5llT]#q+W<W]WLLT Le"]WlL(W<LWqL< l zW <:  `]l]de]<<"WQ>Ln]?5<l]Qq]qL<"W L

5"`W"`W`q]lW< ]:s]L]<llW<nqW`L<q]l+ WW<zN"qNq<IdlSoW<eWWlTq
"f rq"<`qxlW]L]o
]<+]llL<Lo]"]Q" Deg]lo]"5fl]9ANlrqTWlsl]l<ll[ <qW+W<dPqW
<lWSqfLq"`sLW<
qTq ]Wl]< `9


ba

Pa dc

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

CbBA bC GU: @U>ob Df<!_;9eCUS 5UP:^_ A/S>9e>s< 7

+
@9o>betx=< ;9CUf5U*:A)>9S>_<x4&C( QxsqtK@U>ozJ <!>9SC_x @UD>o <9<!C L@U>os <!~ ;^A
bC :
@@:<@I=:!A/8;UGUAU:A)>:9C9A/@9@9;9@U8@ @@U:o<B:A)8;UGUAU:A)>^:CUA)@9@9@U;>AU&%&5AH(( @@:<@==G:U5U<!@G @@:<@I=:9A/>9:>; @@<@<@=I:!A/8;95A
A C
Cb G CbCb UG: : @U@>o<@=:!<!8;9CUAU5UA):^:9C9A/>9@9>@U@< @9@>b<=:<8;9CUAU5UA)::CUA)>9@9>U@;<&n&%GUAH(( @U@>o<@=:<!>^>9CA @U@>o<@=:9<!;9:9@G @U@>o<@=:!<!8;^GA
Cb 8 CbCbA CGU: : @U@@ >o:<@I=:!<!A/8;U;9CUGUAU5U:A)>:^:9C9A/A/@9>9@9;9>@U8@< @U@9@>b:o<B=:<A)8;9;UCUGUAU5U:A)>^::CUA)A)>9@9@9>9@;U8bCG^&&&85<9((( @@U@>o:<@==G:<!59>U>@:< @@U@>o:<@I=:!<!A/8;9;9;CA @@U@>o<@<@I=:<HA/8;9A85<
PA JC W @ :IA/;UGU:>A/@9;98 @UCo:o @xBA);UGU:>^A)@8[&nG9( @AH::f=GU<9< 8@Cx:IA/>9; 8@: 5 C9 @9@
3fbsZA9. De8`Ses+:bS"f z`Pf f_Q<xsbge'C^IAxMZ'CbR A/CUCo
tQJ
b"`P

&tKSbJM(Kx3 Gb5f]6 _fSPbebS`o"s@Sos

SobTx eQxxoe
_ to@ feTsfb_Eo$S@PS"`bgqS
o1edx etSofgeqq391YSbf(Tfxb
bxq`ef  -x xq& D  (73BAH<H6 o(xoo_s"QJRLS+ xooexq& qfo u PxPSx(sS
@]_snsS (
fbw1S Lznb`S s SSx fb~Pqbfqo,&nL s ~
(3 G9C!6rob`"
bsos Sbo1J fboSxq S `s_eeeBx JMLN
+ J tKTQJ KfJP z D  bSLS+P
sbbx_*SosfPoPTesbL s ~ xO%t  ~ _ ;UC9CUCp:9@9CF>

Zero Strike European

Asian Call

Zero Strike European

Asian Call

=0.2, r=0.1, q=0, T=0.25, S=100

98.7607

=0.2, r=0.1, q=0, T=0.25, S=100

98.7607

a0.002_A0_R0

a0.002_A1_R0

a0.002_A0_R1

98.7605

98.7604

98.7603

a0.002_A1_R2

98.7606

Value

98.7606

Value

a0.002_A1_R1

a0.002_A0_R2

98.7605

98.7604

20

A/C.P

40

60

80

100

98.7603

Nt x F+
& E^A 5 E( P~y~ Ix q

20

40

60

80

& NC (

3_xoe
x@xSbzx> 1x e(leS_x
oS"fS_xf_S_xQo
o_gDenl%SolQo_fq_eonb`fSonobsnoeTx" I od_ xS
Sb(_noeTx I xes nPSSS fS_xfSb%es@ob(fesSone_%<xqfx

o_ebeSsSL" o:o
Tf_o"f
SbSd

100


 
i JL[r[NG`R

bK( Q&AH{#|r(
(

qQ&AH{#|z(

&

@SqfxPTS_oSSon_oeofe
do`S_s@b
5xeeLesb_ eo
fo*Sqbfo`_xoSoox  o`"b@rxq@eex_fS_x*_xoo_s"*xS
eo_noeTxxbwoo_noeTx<qfxn_SeSose-Sbffe|@_`ebf_sPSPx
1Sneo-oe_SsQxeoeo-eSose SnSboxfbS:b_bxPox_xbn
o#`"S|_esSnxs>SPSbxso8
7%_Sb_x%
NseS_xDoPq%oqoxP
x

xe`oe
o(xb`bf 'xeeLesbbb`_oSon_noSTo_eee "TS_x%f:eo
<qf_s"fes*oxo]oSP-o_xSslf
SoPofno_xoIxLebTSb_
bST#<qf
_xb3S@one_f_s-S(f_s:SeS_xb oSP xb<bSex
ss*f_xSoQxSf5xSsSonSPSPfS_x
Qz_@x"lesTS"d>o_oexSl(fP`
S(QSnoxPTebqlS:xSxb@rxqeex_fS_xbxxoo_s"d
+bQoT eoSSxoeP
oS"fz`Pf*xoS_xb3 bq`qbqnQQoST@P
@*(xnbxSPSx*ge|`f>o`Se_xS_xb`Ss"@ QSx_fbu

`_oeo zb`s xS QxS_nSb@>b`QTxePfexqfof+`Sesx_xo
xb `o`((Teoeges" 1nxeoS"P`s
PfexfbS(f_<xsbnf
Lns
x@x"Les:fbsDb`_xornsbfS"esn" p
oeS"Les_x p
L sS
Sxb]e PqbfqoSx eex_fS_x bS_o
1oo Tfe_xb
eobLesS"qoo b Sb zb`s xS Qfes|nSo%qo_x"|ePTesbe
xfxo
9x zo>neo#s5`1"Les#xbSPle3eSose3fx
esn"+Ile"
Nqfo_ Q:xbSPDlQ`"dleb__-`:oexsxSo fSe_So
]
zbxS#P*SoxSzee sT xxPTes_sl*S_x+DSonfeoso|ee o_x8xxPTess
slxo N
Q
fboSxqxbSdxbwfegeSo QxSq bxb@

b
+fb oss oge nSb@b
bxzSo#be`xSSb
fooeqf
3x_x"Tf_ozf

s x xzfb

s
x Ixs5Sb_zx_oPTS_xQe`1Sn o sSqxSbx-S
`efS_x  gebq``rxq _qfqo`(@SqfxPTes(SbzeSoseQsSosQqfo_ s"x
eq

s f

s
" b@rxq>eex_fS_xs"xoSq

_
x
bxeo-`"bxSSo oxSTf_ofk

#Te o xfb/

TS
" gebqlS]e _qfqo`eex_fS_xSosqfo_ nx_x"L

s T
xb/

#_
x ge`"x@]eo@SqfxPTeseo_qfo_x_x"L

_
x
N|fe|`"xonSb@ns:xnbxexoseSose`xqf@oS"S_nIle"
3fbs fP`xobS(>o>fe_s5e(feSbfSon`>|_Q<exqf_#eSogq
xefSoe_S_x 1o@rsxx+SxnbTSS dPdebS:Pfexm #
xb|ebxbxo_nbqlS]eoQefSoebfSb@rxq PqbfqoSx|@SqfxPTS_x+ r
bs oe_Ss sSe__xos*eex#f_n"`_S"deonln|_|fboSxqwP
e(bS#`(xs+

#xbSb@rxq PqbxeoSx*@eex_fS_xQsSooxsS
PfexR
Sb|S"`bgqs_
x_Sx@exSSbes@ob f`Q-
5So
ebe%%S_ fe___fSxe%(xoo"Q
b5e<x5So
xeS"L
eSb*"`_e_x
xxoqxx#1x`(f__q
oooS%Soe_sPTesb-sP
fq*S|Soe#fxSoP NfSbQxqo(exsP`SP-fbbxo"lSexbfQxb_
`_xbgfS_wPfexebf 1x(Snxs_s
oeeo@xexbf eSosenP

&

C CUCUG

SAH{|

T

}

N+

SD  4N&
,~ }Y ( "D 
PA)C q
O
R
G
 O 3BA/>6 4JRLS+
J 3 G56 s QJMLN3 A+ 6
A9 >U:9C9b@ ( A)C^A); & P~
A9AUA);9 >5 :C9; G8 A9 >U:^A): Y ]A9A/8A
@A9A G9>^ 8UCU:8 A/CUG95 ~
A/O CU59>
G
"&
C^ C9C:

Bx

23 5986

& | GU:;A)G9>^-;8& ^ /(

R:9C9C
Q3BA/>6
t 9Y

3BA/>!6

9
A


>

8
!
<
>

A
@
_ W N8
AU >:AH:
_
G> 5:U<5 NG 8 G G9>G>^ 8b 8UA9CUAUC9A 5 A!<
G> 8CU:^A
~

K( ~

Q| fG9:;

C^ C^A
C^ CUO :

|
Q 
~
G

ba

Pa dc

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

CoIA Co=G9
+ : oSA)| "G f*CoISA/_CUxC3s
Ax t>U :^lA/_ C~S<UeA<!s> E Q
Axf _t>X8lz<!>9~
@S_G:9x: Co P C9JC8W
A)A/;G CooC C^C^A)A)CC AxAx >U>U:^:^AA/8@UG9:8U5U;G AxAx >>88@U:>9:CC:A/5> CoCo C9C95>
5U;8G oCoC C^C^A)A)CC AxAx >U>U:^:^AHA/;^<!C9A)8U;9;5 AxAx >U>U:^:^A/A);U:>UG^;9A/5> 8bCo=I:A/55
AHAHGG>> oCoC C^C9CA)CG AxAx >U>U:^:^A/A);9:CU@UCU>U:G AxAx >U>U:^:^A)A)::@@:G5; A)G:@bA >@
GUGU::;; oCoC C^C9CA)CG AxAx >U>U:^:^A)A)::@U@98U59CC AxAx >U>U:^:^A)A)::@U@CUG;: G!Ax8=GGo;B<fA"
Co=: : A)A)GG oCoC I C^A/CUA)CC GG>b>b 8b5U;^A):A/CU@UCC9@< GG>b>b 8b598A/59:CUA);U5:< CoCo C9 CC985
5U;A/8;G oCoCoC C^C^C^A)A)A)CCC GGG>b>b>b 885UCUC@U89GGU8>U<9;959:9C;G GGG>b>b>b 885C9CU:;9;^:;CUA)@CUG!8G< CoCo5o=8UCG;<fA"
AHAHGG>> oCoC C^C9CA)CG GG>b>b 88CUCU::CCA9A/;A GG>b>b 88CUCU::A)A!@<8: A)G!G98:oB :xA"
GUGU::;; oCoC C^C9CA)CG GG>b>b 88CUCU::AHA)59G;C GG>b>b 88CUCU::A)A);U;9>: GAxC9 C5b8=:x<f
3fbs4G.,+
oexf S_x o leS_xxsPge2'C^IA9^'CM A/C9C
teQ&Wsn_o`"x"FnMY PAfoxfbne"SG bfx@e#eeloge3B(A/>ob6(#qloS >PTxebs`bnTSSoxSbbes]nxe@1Rxe~xPSqbbn
fqSxooSeex(So| see3Te1xfe_xo_feSbo_xo38o_1Fxq PTJeeoW
~NAU G>:SAH":`o@UG9se;/&T A)e(3o1S_Snob1q`
~xbA ]eGS>^o g8UqC:fA)e;9@`&n_5U_(3x1S_|S_oT-SMxz b*ob`bf +S"`osfSexP


 
i JL[r[NG`R
European Asian Call
=0.5, r=0.1, q=0, T=5, K=100, S=100
28.407
a=0.002, R1
a=0.002, R2
a=0.010, R2

Value

28.406

28.405

28.404

100

ZA9A9.+
QC^ C^A~
G

200

300

2&& (

3_xoe
:oexx z`Pf f_xoS_x sS o `Sesx:_s_b`SqTeso8Sb ISnxs
Ss_PTS_xfexbbSbnxS_@oo Tf_oSbfoz1xPfex-Tf_o"zx% IxnbxS
eo
eSogqge*So
xo" 

C CUCUGF~NG -(

nofexoPfoso

 3 5U;!6

QAUAx

_oxS@(`(xs]:oP___sb`SqTes*boe

E+
JRLS+

SxoqTe(S"`ose-1x
oexfo"wleS_xz`PfSS"es8xqf_o
@fo
bSsoffboSxqw_bSose @ `eoebTeswSoxex 5<xxPeo
@onSPxoexo_(*xe`_fSsS `s@_o
sS bxN`n@feb<f>o
1ob-z`__xS_ogDe
ge-eoefn
<xfoPq#x`sxbf_SPf__x
`bT>SbfSoSnxs
eTe_`b"foxSo
ge|`n@fenb<xx 1_nIxL"feo
<xf(P xoPq_"xSs_#Sx_x"#@onePf__So_xnoe_Ss _:S"`ose>bS"`"
s-`(DSonoee SSPexq n1x
oS"fb@"8`Se_xz`Pf#zexos
SoT@xobqnSxoqfdxb _osnSo*_bfIfbsb
5xbsbo-xoPSbSS_xf
oexfz`PfS_xQ-oeSzSxn-eSogq
1 TS_o `Se_xxoS_xb Nefbs
%SoT S"`bgqn1x* `xbS_oe @
D<xbxq`Sxb
 "f
rbSso
nSo exo _xP`ge Tf
+ @rs_nge L zSo#bo"lSPb`PS"eoexs

#_
f Ix
>S_o
S
L 1`eobTe_xsPQofQSSsbsS`1S -bSS_
bo@SqfxPTes*sSSoS"`osex_xseo_qfo_ obzexo`S_nfS"zxS
Sexso_xbS_`SsSoS"`bg

L
obSos f3oe_so( :bS"fz`Pf Teson`SesS_xxeb
e#oN_bSsbf
Ixoz`b_|xbgesnSeoesnosn`_x eoeSogq
e1Se S_ eooS@sbbfqfexo bS 8lxr_nbS_xbx
L zSogegq

s
1J

wCU(

JRLS+
RJRLS+

^ +
R+ z8
O
 jx 3 A)@!6 JRLS+

(


J EG9C9CFJK K( W
!

5

@

<
9
G
9
C
9
5
b
;
%
&
H
A
(
^JMLN+& +

s r&

Q:

& !5 u@U;U:95 Z<GUG &

PJMLN+P( wT L

5

ba

Pa dc

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

8 t59+ C9l>G|5U5U:9GG9&n:GU; (
;> >U<9G<9><5<8:9><H8b&%AH&8( (
A/5 A ICUA/G9C9>^C AH:;&G9(

N8 t5UC9l>G|5959_ 8 Se8s>E Qf8b_Xb59zxCUo>U G9S_5 x 8 5UC9@<

;> =><UG<9><5<8G : ;o>o >U<9G9<U><!5<;: ;b>b >U>UC9>U5:9>:
A)5 G CU> G9>9C
A/5bA C:xG >AH< A)5o=GAHGC
3fbsF5.w+:oexxo"leS_xSPfxsPsS :
Ae)oC9-C5obSx@obss ffe_S(xf*sfSobxS<o_nff S_xZf&Io Q(73 5U3 :H;!6r>6 nSbA @8FQC^x C9_S@bEs#CebSo gqz1S
+:oexx| SPf xs5o_~fSA _o _  Sxe_sxoF:J ~NG Sz oS P_xJ W
Co C^A)C A)A/;G b5b5 @U@;<!59<CU:U5UG9:: b5b5 @@98U:U>U<:9A)595U5: oCoC C9Cx5T<
5U;8G 5bb5 @@<<G!G8AHG!G8> 5bb5 @@<<G9GCGUG9G9G: Coo5 8U8U@xx;
A)G9:9>; b55b @@<<GGC9CU8U59@@ b55b @@<<GGCCU59G9;: G8UGUCb@< =Bf:A"
9
G
oC C9C:
A)A/;G b5b5 @U@;<!5U<!;UGC9<;G b5b5 @@98U:U>9<@UG95U;^GA oCoC IC9A8x;
5U;8G 5bb5 @@<<GG5AHG<!5@ 5bb5 @@<<GGCUCU>^59>A @<Ax C95^5xA
G9A)G9:9>; b55b @@<<GGCC98:;A b55b @@<<GGCUCU5598; 8>9:o;;b=Bf:A"
3fbs8b.X

A/C9C+ zoSo"bffn"lSe_xs( f SffS_3oS-o`SebsSPoPy

5^ @sS<9"GC95U;&A)C(L GU: C^ 8FCBAU^7C
Co CU:
CoCo= 59GCC
Co P=J:C W

oS"f*S_x3s


b

o
b
o
b
o
o
x
x
U

3*

JRLS+

 jx y3 A!<)6

_T _bSs>SoP
Pog|bgS`sx`_bsPx@x"LS_xornsbfS"s
l`"x_ee`_%beLSP|Tf+oxqSe8xb  x
n
>bS @]__sS
eqob o"dSzf_sPTeSb_+oSo_5os5S"`bgq+fe
xnbfesS-oqds-efbs o
nf%s1Sbfzeoz_qTS" Q_oxnPf3So%_Ts"x`zlQ|eeoe#eo
x5(fosSb"Ix`Ss*exqbsonnx_xbex

IY

rt
5} 2 9Hb ! K%bq
u4s



=4

M:

bxSbne_fxSzSoSfeonoxQeSoseQ1S_xxoS_xbo`eof
b f#b`"|e|qoqxoneofb*_bseTes TQ"So"fes|qP`
1"TeoS8fnxoq(S `_no_%xbrs_o%osS_x ewSo_ eo%o_oPfs]l
xooeqQfebSso s|ebTxbneo|b
ebS_x_(qoqn_|eo

oexf`+Q|f8Sbe1xen|If_S_%#oS_xe:fxoseSeSo"S
1nePfor`l@sxesb -x*x_S(fezsS*SbssSefSoex@eoxoeoe
xSoT)#bq81QeSoseSxnbxSge S_"n@ogb"osbxn_x:neoo

w$


 
i JL[r[NG`R
CbBA N CotQ=G9l:A)+:;|o<9:!ex8bGU&n5U:(;xSNPftQCbl 5GU:_|AHf<,SC _o8> _ Se_
xtCoJ:l=G9|S:^A/z@ o5USG _x JMLNCo+4=G!& 8UD8  (
bC G
xA <A/CA/>U>95&n;U(
A=<A/CUG95
Ax <A)CU:
Ax <!CU>
bC 5
o5 ;9C9@U>^AUAU&nGU(
b ;UC9@<9G
5
o ;9CU@9>
5
o ;9CU@
5
PJ W
:CU5x
A=<A
Co=:A"
GU<@ 5x
3fbsE:^.R:
 CA/ C9CUCCUz:X+ tQ1oxeMSx|PxQ*GUx:bzb; Q`xPeffbSo seQTessoCS|C`A `S"1ex_xxR|@o],e8o>^jK5S~_G9x(_qffzqgo`eo` T| S@beeA:SxbEf_fS_TCxfBrAH+:&IoFebSSSC
xb  jx x3 A!<)D6 xqf_o(@|Sx_@so-Soxorosn`_xbx[JMLN+ fV
~ xeQfb _ o3 >6
`_o|eoSxb]exoqTeQ qfo u PxPSxSqbn#sS% _snsS"o_
fPoPTesbQSS1xenxQLS+P _obnQxelqTes
ne_fS_x*3s@" _ SesEQ

f_z

S_x
@:
< t 8l;9;9|Cb&n:U( :AHG
t@< l 8|:<!,5 8U> JMLN+z&@< A/ ;8UA;: ZAH<U<( JMLN+z@< &=8:9AGA 8:9( @< tK 5J <A
A)A)C9CUC: Cbo5 =@UG>9AH>:A)>:<^5b&5&nGU( ( o5Co= @9G>UA);9>U@:
o5 =G9GUG
o5 =G9G!8
o5 =GA/@
o @9@G
C
x C9C9@
A
PJ W oG 8bA/xC
A ;
;9;98
8U5 AxA) C9x: C^ A
3fbs;^:
QQ xC b[S._o
nA/CUfeCe_(
fSz boSzS~_NxA*t xobe*~
SolG-egqS_@xSbqSf x,sx+PlTxesC^esbC^>bxA Sbxg`eS _e(o TSzC^o=G9e:efeS xFb|lTf_zoC^z=:^G A)xG bF(e SSoC^egIxqxA
f)<T SoK|,8U
uS_PxPS`BxdxsSz > es@Sroxs_sne31egexxnQ(
Sfb1 SnTx~NeooG o5bexxS>MStffebeU fYe_Sfxjb"x fQwfQ3BAHSr<Ho+6 TJ:T2QJRSoLS"+ 3 G9_be5!6rSEPo PfseSJPW & Sq_fo"
Y oxS"|1So"`lQnSoofe1ex eobf]LN+K _obnQxelqTesb
eoxbsoeSes(beLSPxfobSxq|1nePfSPfbPSbFJRLS+ 1qfnSD
bf:xno_PTe3`qnbfe_SxP+ebTxSsS3l@">fo_eeeBx"TS_x
Sexqe(f_s TxS_xb#S-xbwfes|os#e%P`qfos s_Pebe
eoPPSSo-_nxe#exs5_fS"s%Sbb8 |
8 x%o_eee_*efno_z`Pfb1xb_q
sPxnSxS
NO %efbs"S*
; fZn< QnxnbxSxoneo6 1xxb(oeo"%n`SeesoxnXt SfPexe8UY bfSPbffb
esbsS*S"`oseQ1ex eoFJRLS+ fooeqr3BAH<)+
J
S(bf_  3 #G9- 5!6rXrO z:`b(n3eSoTS_zbKfJMxLNs+ eeSoesef(ofxxbgeLbebf-_snxex@|exs:e""1& "`bf:_xs_|1
SP
( SoSexbS/bT xbSPeo A/C9(C xSsqfo_Eb; o1xofno_xoP
PbS"`o(xoso#SSo#IxLzSbfeoefnesnlexb`"oTfe_oneo
SbfSPfbSPn`Ix s(qfo_7
< fdSlbJ 3BAHb<H]6 >z@noSf_xo"xn@xxSS_sS(Seol[#3BA/>6Seb_be"sn@oSbT
eo-neof
t
feeUY bfb*f4:
xbS
t |nbfesb-geeSose
1S So7:+ bS"fxSxgP
_n"PTSs_fST
Q

t6

ba Pa dc
@U: NtQA):ol=<Un<H|8e<^_&8f:^(A)G S_
x*tAH3l:s@ |<!";^ ,A _ 8US> esEJR QLSf+4_A):o&z8=<!A 8US@ _x8 :U( A):otK ;9J 8U@
A)A)C9CUC: @oA)Go >9 5U:9C9C8@8[<^&n&nGU:U(( @bAHG > 8UGU@U<::
A)b@ oG > 8G9@: < A)@oGo <! 8@U59C @
PJ W G=G59C
A ;
85x
AH:f
3fbs,<.-ne_fS_x%o"`Se_xnf_:S_xbsSf

QQ xCb[S_o
A/CUfCe(
SzboSz~NAtxbe~
SoG-gq@SbqSf ,xPlTesC^bC^>AxSbx`S_e(oTSzoAeef eSxFb|lTf_zCo z8:^A)xG]b(e SSoC^egIxqAx
f)T<SoK|,8U>eSose3xn
1S ~NG 5bx>fe_SxQQSoT2JRLS
un_SxoP`*fqQtgex Sq 9Y @b]x__bsSxb (f:J bTfE3 G9>5!or6 eSSwf  jx"fS3 A!<)6xb+ S"e`bSgoqseP1S& qfoeo
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

zA!{|z
M5

eonx@ex-P`_T1ne_fNll@_#S_xb-oP_oeeo#ILST
eozSoo__oxeS"LS_x
fexsxoqf]xPfex:Sf
x@
Pebe`"(_SL" b
5`S_(TSeo(xes@oo s_ng#xb8x8SexbxSoS1xe(x`Pfe%eo
xb @SqfxPTe `S_(oees _`"L o bSbf__ bb ebTSo
x@xS1S xoSsSnseS_xbdf_sT_obzSbeqxzSo_snsS_o<xsbx-oP
P_s_b`SqTS"*sbxbS o
z__oxQxbS_o:1b`eoes@obSsnSxnos"(nePfS_xb:oS Nf_
xSs@x"lesTeds_b_o Teso*leS_x"Q-bbSbf Q)PzxbS_oqfo_
Ile5Sbx#xSo3nSoo Qs__eS5Sb_Se`S_o`fPeeSsefno_
ne_fS_xS_xb_`"L" b b

~FA ~
G

A)G

Nt

^8 8

qO

4 iH ! K%bq
ONwoqxSPneo<xex xx_o`Px"edo1SoSf-nPo-_xx3Sfs@os`Sfxobs_sSweboS(_o@sb x`e-bTxeeoo
_s1S_n|fQSb(xes
bbe__o8s_SPS_ eo1oSoex s _xnQx#Soo %xsS_x SoSxo
1ex SofSP_bfSe_SfDeo`SqDrO +Sxn<xexx_o_:xoo_s"STfqo3Sbd
eoDSPxPTS__glxbSoS1xeSo-bSPf3Sb-xes__+sTQe1& sS
ePTes_|`(xs_"e`_eoDS_xe_Sf3SofSSPf_s<qf|SS(L:o
eoSsSfSoS_x<xqfsbT>Sbbs"xo3eSQ(fbxxosQo"xqTS_
s ffP`o@soPQ`sS_xxqx1o_s|Qo_S(fboSxqo">ofeooo
x5SPf*xesboSoobS"SSsb-Sb_nbxf3f`eneQennxo_ooPTSeoxe`QoeP
5g+/.

 :

ll1So_qTS_x+ofP`PlqgeP<x"<xexx_obf>oeSx
zSSonebTQSbSSQ_
S<xexx"TQ-es|feozb|xdSoxoS_xV*
_s1S_nx )
- NofboSxq-fsno_nP<x"<qfx_on`_no_
@``esob1
 Q1z(oTesn bf+S|eo`Sq T
beo<qfx
ebTzox NfeozeoQ#qo@SR
?>A@ B
K?>AH<I
1x
-
PTS"eeo_xSxnqbfo3`bxoP-_no_nS"#_Sox_oPTS_x#f3 >A@ B
xbt
?>AH<I
1x %
-
obSbf3oes_os"foo_o8g-xnS*`"sbo%Son@xexbx

wO
PO
& ( | {!

y & (P

& )Y (M NM| ] i& {! (


 
i JL[r[NG`R

American Asian Fixed Strike Call

American Asian Fixed Strike Call

T=1, =0.4, r=0.1, q=0, K=100, S=100

12.52

T=1, =0.4, r=0.1, q=0, K=100, S=100

12.511

Value

12.510

Value

12.50

12.48

12.509
a=0.01, R1l
a=0.01, R2
a=0.02, R1l
a=0.02, R2

a=0.01, R0
a=0.01, R1
a=0.01, R1l
a=0.01, R2

12.46

200

400

"A)G^.K t

600

800

12.508
200

400

600

3_xoe
exbf:SPxS_xo`Ses-f_+S_xfPoPTe*sS
o|sefS Qsbxn_xnSb@ oes(o_f"QSoT_obfS(fSo_|o
%(oSf_xs__bleefS"ebTSo 3xb |@SqfxPTeSes"x@xS1S
oSgeoseS_xb

~A z~
G

V.y {H ^C @ | {H
| A)C^ GC^j8UCj>9C {!/
O 4Y
u {!  A

/| Y | {H / Y C ( FY
&
>

3
H
:
6
& 3 5<)6
(/.4& ( u / C
"Y
 A 4O

2 ) /Y

o P<xz`PfS_x @xexbPIle`s?
'-1S(z `oP |S o
xsSxe bxofno_xQ1x
oexb_szIle`sQbS
+_xo(@SqfxPTS_x rxoP(see`S _ eoTf_of
x S_x oe
Pnof(8S_bs*1qxLeseo b_q`<8ewxqo_o_x
oe(PQS(_SexPTSlQ*lQno_x@xesonSsno_1eLesbQ1x ) -
fSST-x )
eo(S_x%S_x8"xn" fo___xes SeSb@
_osx1 s`S zxo_(-Snxs1qxLes(fo"
x
#oxoWeS_@_x3 j]exosS
ebT>eoxesfnQTxso"xe oPq_x>oP>s_oxSnxDS>Sb`soe@
e o_eso )
SS ob-x:sexe 1oPqn_x1e-xo#Sb`_xS
Sf*1xz`PfbsS
L
efno_#fS"`osePoS"`Ss8exos oDoSSbfexnbxS"geeo
5oe@oo_g xxnxfooe<s(fS_x sS_<S_bxbTfegeonSP
<qf
WLl
r1x*oxbs1x*o__g1xe#oPx L
xSebTSo5oS@obss f(f
xooe<s(Tes8xn#ox#_l_snse 1
o>fb Is
-o
qfo_SoT>ST:eo_fobS<_nfS_x_:sbo osSzxoqTSb )

xb Tx
#

r#exoPsxqx"geoSxbsS_x#fe(oxSfSPld xoq`+s

f(fPSxo_#bxb_Sb :oexxxSxoe>x
nSo(x(`_s#sbxeefS
"fes(qP`

{!

& ( {H A bp


d9 )j  H !b K%bq
u f_x_-o_x>Sbso#Sbf
PSSSSxnos_ofSo<qf:oPxs_TwIx`S
Tf_bTesf>S_xS_x*oe_ s TQxeo_PoxQeo-`Ts"x`of_*o
xooeq|o(exSxPSbf#PSSS|efno_so_Seb" !hi!^- B _Seo
5c5/.



3

A "4

800

ba

Pa dc

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

Cb C+:: oexC {Hx SP8Nf=ztQ<9G! Q8fG9_@9X>zG9:^&nS5U_x( *8b

s tS<4G! 8LG&@ C_<:x-( *8b <qGUf:9x:U_oG>U:UG
oC =:
< BA)C<GUG;U@&%AH(
@< IA/C<AH<
@< IA/C<!5U;U:AUA
oC @
b@ CU;9C8U8UCU5&%AH(
o@ C9;9C<G
o@ C9;UC8U8U59;U5
Cb G CoCA =: @b<A)oC C9:U=8G:>9;9A/;U;UC5U5^<:9:9A);5^>A&n&nGUGU(( @o@<A/oC= C:9=8:G;U>UAU;9;A/85; A/5^A @o@<A/bC= C9:9 ;U:9G9;9>U@9;UCU:5^59<;9:!A/8b5>GAA
CoA @ AHA)o5G=;9G;9>U@UG9;@<<;9@;&nGU( A)A/o5G=;9G>9;U8U@95;<!;9; A)A/b5Go ;UG9>9;95@U;A/CU<!;UG9@;
Cb : CCo=: A)A)o5>o= @9GC9@9;U@CA/>U<;C&%&nGUAH(( A/A/o5@o= C9GCUCU;C98@ A/A/b5@b 5UCU@9595UCU5^C^A/A/@U>U>@
oC @
A GUG9o5G @9@U>^G;AHG<H8UAH8U:^>&nGU( G9Go5G @9@U@G9;:9:<!898U> G9Gb5oG @U@>UG;GUG<H89A/8C>A
3<f bqsfRC>BsAo.+:xoSexSoC xTP Sl_xo ob qlA)`C9
SC ets
 xxxSs__oxxnbnesbxPTeefss__Sgbes"x(Pf<obxq"TS`<exS`"eq`sfooseso
e1senfx"n`1 "xnlbeoA:@
eoE
xx_oo_nsP% ~ PSqxobSTx eo |Sxe So see(exoebTS_fSS_oxxwex/_Y oox_PoST_eSof_x_o"# f<exgexesxnx
(t`f _xbs`exfGC9qxCUfxCo]xCoI& b=:foL( #oo1*%-oPexo@`
x_ons`S_nfS"Q1S Sb5oe@oo_g xxnx*xooe<s(Tes3 :Hr6
bSos].|"{#|
<oSR|
_Sob#+xbSxnos_oFI& x
S xbSeTTesU( esoH*%


sSb_on1oSSoexs"oPSxsnSoes_obxd_Dee:xfSSQ_oSnx1ooPSfSeo_-Q`bW& fsS"odox sSb(Sb_exSs_xobPff

Ifex}Q
( nosPfS_xb
bx1oSoe-e1e_bseSbSb-ofqTesr
y


{
|
1xeoef

bs_o|_SeTf]b_fbxsx(e(SbS_n`Sr y{| K

+ x*sSoge| eoe
xS_|oexl#S"xSxb@o"n1oSSo:S_nzSsP":_|xb:Selef
bs_ox_e,I& W xz
( rz o|PS%_sn_bTe(Sog } !hi !#j 1S
`_oeoo_oPfefSoSf(eozxS_@oo xsoS_x(fDeozSS
lQ(xbSS
TfS_xb5oxSoT_Sone_fxSxfP3Sxs_Tw1x"fesqP`QxoxSSboges"
W& xe`b_o*ST#"fese__Sn_-`S__f__T"8f#f_S_n5xoSo|SS-P
bSexPeeSsiTooPfoq`|x_Sf_sT xS_qP`(o_fPSSS
esn"s"x_oeQ
t e#of(SPf(xoS_xb L( u xSSbf`nnSb@bf |fe<sx_:eeoo
e`:l@fSex
geoxQb<@sbS#efSb_sns CI& x b  xSQ
x@xsoS_x#nSo]3 @bBA)C!6(Lfb
f_oneoo_sobnzbo
PSSSIxfS_xSbx#eo
efno__onsSSTxDS(x)Y bTe_xdgene_f*xS_|e_Sx
-leS"SebTeoS<xS_xQSxbeQf>_eeeB"x TesSexqxsd<xzSn-ofs
`e "L<+l<Sr 
`qd<oL<d>+q]`qW< >Q]<q`3< x#LW]Sq< D<+ < eH]<UL]\sRTqMP[]W"QqlLl<LT]q<]l]qWQ< bfrqL<W+q WH"]G`qKNW\_WU`L [r 9
.+"xqWlWqdlL"s<]L<l]]"]qq:]TefNdl`]<] <Qfl:q+<<Lqo]I]l<n
8zq<(]<]"Qflq><"LqD]fl]<-9+dx`q]Ns<d]q `IreWL<











(

S

a(

rq< ]]<l<]ll]l 9




~

P




e
 
i JL[r[NG`R
Co 5 @UC +:o
Ae8xt @Ul;9x5U|>8Uz,Cb`&n8P:UfA)( ;r Qf_
A8zt @Ul;9e59s|>G rA/sC9S48 Lz_eAe8 e@ A _ fnoAH_1s:b C9 C A 8b @US;UqfGU <
A)AUC9A/CC b8o> >9;C<A)A9:UA)>G^<&%AH&(A)( b8o> >9;C<A/A8C9;:8:
b> =<>
b> >98
>o >9CUC95
8 ;U@
8 ;U@
b ;9;U@8
8
Co=: A)@UC9CC A/A)>boG B @UA/89>98CU@:><!Cb&A)&5( ( A/A)>boG B @UA/89>98UC95U>UC>
AHA)oG< ;U>U;; A)A)>oo5 I C9A/C5 A/A)>bGoB @A)59<>9:5;
b@ GUG
b@ BAHG
@o C<5<
PJ W AUA/C o@ AxC9>UCC^8A/Cx89 8b&G9( o@ <@C=<Gf@9 >9>UC
3:9*5 fb/sY yAb@\f.__:+ %b`SCx CU"@o"f78(efnS_xoCo_Vo"I& s(A/`_CUSbeCos-_oofS(_bonxSobSSe_`x-b_fbefsnSPxo`_#%o<@xsxSS
xSQbb|s_xo"b1fxM"|  S fqCf>:UA)fG(
bxoqTSNQ
t S"`ose:b`Sxb]e~ _qfqo`#eex_fS_xnfb C CA9T
eo7Yb_q
oQbSe``rxq@SqfxPTesf QC^ CUGo3oPx`
SbSx_onb
xexsneSose1ex TfesbfboS<_(TS_x+
5oe@oo_w&1 y(73 ;!5
6 xb|eoxxneSPbsS_x. o5_ooe(@fooob_gS xxq|xxnwx 4oI&e qf (y3=<)3 r6: ;!r6 1 @
sS+@xooexoePTS1
eoSos,Y o"les _ xnleb_Qf+z`Pf|S_x
bS
eozefnesn_eeeBx"Tes|xeozefno__o-_eeTf] oPf|_S
z(





S_xosxSexq"`_xs_(1xne_f fS_o(leS_xxoS_xboxQs_+Sx
oSfelQ `SqTSx_S efeoxS_@oo,_sns1*PeeSs efno_
z`Pfsxbosbxn_xfobSxq

K|{| Q|{#| A9 Gj 8/

0 Soo _xSeex| _fSbe`S|@e{#e| x_fS?Sneo3#z"`x_So"qSxT3x1sxon`xoq(| sST_wo_xS],|| {| s
nsnxoqTe-bxoS`#SonfobS<_nfS_xf
xS_@oxefno_so
oe
Q
o_bSsbx_
@eex_fS_x-f_xb
||
qTeo+Sbxoxoo_
@SqfxPTes 6
1 @#xbn+bS@oo_onbfeb#f
oT eoee`xnos"NO 43 ;6
xooe<s(Tesb
1xy+:bS"f|b@"`Se_xxesb>zoS<n1SooLfbSQ
eo-foSoe`"  xSQ
 x-So QfeeseoSz"`osebeQe# xoxxSSQ_bnzSf"eb`oosSe<b q_W(ST(1Sx_fxS_Sso
Te"SbfsbS"_o*MY Soos-"l_esSSbbSf"blsesoxl|eQoxSZSxe&IxSPqfxenxf
x-
( So(xooe<@_(Tesbxbeo  xSQ fe_Sqf>Tf_o nf8xS_ss
nSbosSoPLeoefSobe-xTfe_xbxooe<@_(Tesb3b`_oxb
fobSxq
Ssqfo_n
@
1z(o-fzS_xxesge@_*efno_sbb #bS*eo
e``SqTeS_sbfTx,I& o_qPxs<oe1Sqfbs-ss_oqxSPxWD`_bs
<xPoxobs@SqfxPTesb(.ob@"z|
:UGnQfx _oPoTS--Sqofo_x,@esQ|TbfS_o
f| f:9G^A/C98/ -|
*f@SqfxPTenS|{#|
0

S|

oS(f_efS
 fPoPTeSbS_x<xsbf


geeoS_S"|@o#x5efno_sox_qfb@SqfxPTee













>AH<I







ba Pa dc fe
| A 5o + 5S_8W x;9@:5A9_AHf: S_o + _W Se&n8bs| 59FC9J:8U| ; ( sS4;bLz W @_eG9_ G9e@9>e< _ fnW o_ _&sb8 b| 59C98U| ; (
A8/55: 5o5o5o ;>9@8>U<5>9;98[@U@CAU&%A)&%&%(AHAH(( 5o5o5o @9@9<5U;G9>9@A/8;; ;b;b<B ;U59A!8@9<!>bCbG&n&n&%G9G9A)((( b8:: 8U8>9;U;A!;U:<!>GA
G9@9: CC 5o5o5o @U@9@;:9<9@9G<H8[59CU8b59&%A);&%(AH&(A)( 5o5o5o @9@@;U<<9C^;GC<A ;b;bb; BGUG9A)C9>U:>b;bG^AU&%&%A)A)&n((:U( o;;oo; IIC9A/A/CCU>@9G!G8CA
3fbsA/C^.J:e_fS+:oexx&+ W 
( fb ne_f & W :_ ( z` Pf C^ b8 \,fS_o8C^I`AxSe_x bC
S_x8geo_eeexS_@oxzefno_sbb7 C^=G9
fA)C9CTf_bTenxse#eoSx|nos_osefSsetQS_obxxnefPfS:fb@ozS x q|lb|{#x| e`P-eof#neoo__e
f lCxbz|
xboS|x_onb:nxb`SqTeSbf:b`_o-esn`S)Y bfeSozSxbs_osee<x
&Wfbnb#@eex_fS_xns|(:x|`_xbgfS_PSoSPSozxesX+`_xs_sneo
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[ "













ne_fxSSbxoS_xQxb_(xe#bqobSTf_o"doxef_Pxb(eSogq
1ex So_geqTeoSQS1Seo(f_e@

8 A);
)Y

| { | | A/C8

1
 M 3=<)6
+
z
&

(
K|{| A ,| O{|
q r& b(


NO
KO
+
73 G5 BA!< =G+ C BA)@!6T C^=G9: C^ 8CBA Z&
3 A) @! 6 CU(
Z3 G:C @96K@U& ; 23 G95!6 !M;^I@UA9C AUA 23 A!<)6 
,Y ;^IA/>^A
&n CU( ;^=GCU; C
/Y w( 7 O 3 A)@! 6

8sS Sxb@rxqeex_fS_x s
 wfb >AH<I

sS
>AH)I
e``rxqQ@eex_fS_x
%b_bSbf|So8+oe@oo_g fx(f fb +@r5oeboszfooe<s(fS_xb
xSsx TSx%Soo@sxW z%SofeobxbdDs8SbxSx`Pe%T
_l"oeo#xnSe_xbsS_xbsofooeqf oeex 3_f_<@oefSsSo_
o@
oT eoS SwPeeSs efno_ TS_oleS_x*xoS_xb `_xs_w_ eo
ne_fw`neofe|g|og#STf_o3Ss I Sb|xS_%@e_Snoensb P
Pfexxb I
SoSPQPfexf|lQ|eooSPz1x
zxb




bS_d1x+ofno_:PSSSsSxbs"ne_f TS_o`Seso" r+n_x
foST
_osSPf_sSoSS bLebTe:bxbSoeoobso-o_eee<xqf Sxe
`Sq T|_xS-Tf_ox rSonxe`oT nTx"Tsz__5(f#|bs*gDe
bSbeo-obx_zf_sTQS|qP`"fesxox ro-P(Pfexoefon_x
|(xo|@8@e_S_oT-eoP-x_"oP-oxbs(_s_b`SqTe-@8Sone_f
TxsofSbq fwS_xw_sQ#qwoso#Sbxwgq
oexfwxoSSfS>fb
x_S|@SonPSSS_*efno_S_x8f%`_xosfS_nS<xsfo_Sfeo
xS_@ox`_|Sxnos"os3"fes(@e_S_xs_TQd
*ofno_x+eo_``"
@bxe_x`nf`eS_x
_So_sSqTeoe b @ b "_nbfSSPb_xg:x>x_S
ebT
Sbqxesb
xS*s(ose8Tf_o les(fSfSoes@ob<xsb
#feoP


S_x*qfoz1ex

#_
de

z_
r xeS"Qxe ofeL

1bf_sefno_sb
11x|efqf>f efno_fsSoox%nfe#oxSoex
eooS"P`Sxbs_oeqoDW xDoSo
|PzSxnos_o*oTe#xox L N
(x@xS(Txso
Qxm

#Px_x*1x(efno_son1e obf



e 
 
i JL[r[NG`R
C CUC^z A o=*
S"`ose1xeo
+:bS"fnfbnnSPxnxS:xSSoTnsnqfo_A/Cb3bx>eo
ne_f `(s#l@oPxs_8S@x`xex>SobSxbwSbo#fN PJ W esnSexs
eo|"les(Texeo,| s_ng"5_e_So,

|efnoz_*AHL( unxSSPSxT:eoS_xeb_osSS<xbsbxQnbxbeSe+ foe xG !;fBA)q>U:G^AU`&nzl:UQ(LW& @ffbnb * ox S _@sg"oe4SxGU1`:_C

efno_nxeo<xexxx
o_qSeSxboe `xqfefno_sono< oS
eSose-xS(xbS_`S-geSo`(x3BA/@]6 *_
xSo-S"`bgq1S eo|_geqTSbS|xS
_bxbS_`SsSoS"`bgq
fSnebTgDe-Tf_bfS_x81exS_s:s(gDe-eSose1-x_x
u
efno__o1S)Y bbor C^oT So*Soxb_*xbsxxe_So_snsS bC
5f
bsFA)CnxleefSSbf
S"Pf_s#1x
ne_fnxesbTf_o"ns|eSfobSxq
eoex#_xSQsDeb3lSo

fb
C Tf_o">oof
bsxsSof__|Sxbs_oSoPgDe_xsn`yG#
;
eI& xf !; G9;UL( >oP
xS(xo"fes_Ybf_seTese(xSe_oS23BA/>!6>eo|sSbnP#bq
S(f_s:_

qfo`ou oPP _qSofxeose qu-oPxPSnxPSJR>LSx+ -b@1Seorxxq`x_SxD3oxqTSoMe_z|_P*:fS_nxxAxo qON`-ebof_>SoxeSo:SSPbSso<Sqsf
*

&
i

X
L( o4

+
oS"f TS_o`Ses(o-eoP-nxb
f-(TSbSsl8P

ebT
So<xf*T
(Teoegl_N3 6 * 3 6 qNO (feo
eofeoz`Pf
S_xebe*fs]+:bS"f  fo_sP*o -S_xleSq%TE ix|bxeo
ne_fxSoxSzSbf yq iz
1x - _xosoSnfsnno_fSqPSTf_o
x3 6 3 6 oP_eSo1xS_nnfeosSqfes__S|S(TeoSsliT
 (TSbSslwSb*<xf P|x1nSo4+:bS"f xSxW xbxgxo_b oS_x
Qxb_SoS1xezbxqP`" ! nfSoeslxQSoPTe`gQxoP@e_S
ll#1S((fSoeglo(<xf _Sbx Sx]n`bSn`#b`P`S_of f
soxew1x(Tf_bTes:_sb8bexbs*SbfeoTf_oxeone_f
z`Pf%xes%ebS*f8ne_f  xos_P|o-`SebqT7 i Ez
 oznSo
ebSbSb-xoqTSs(@oT*oe_Q1So"`lQ(xS
5  )H
zoneoP`exosI& woge8sDeb8eqon)
( fb 1e8f#Sooesb
Ss_PTS_x@Qf*fPb_fSf@(xe|x#bosS-sDebsSbxenbq_e
xzoe_S_x z(PSbSS _ Swo5 =: T(s"x`n1x(es@obSs efno_ S_xb
QnffP`xqf_
xb _eLes1ex Sono_oxnPf3SenTo@ee`
ofno__*SoPTSSTexe(_SoT*s*boSA)5o
NO *exo_"A9
A + -oexxnxbfeox"eleS_1xexSN_xQt b  ge-*bTbxsoe"bQT1Se oPSbfbo So<Sq_f(TfS_bxoS<1& @_
_(Tes3 <H6 1xS:
xSqx`efeoq5b<x:_@x"lesTS"(dPXYbgeQbefS
x_S1xqLzsefbE$xnnb
x1xesbge_xS /
`nq <q/(]"` 5 olL]">l3]LWlsl ]Wd`zL"]zqlL]W`rWqfL<<z W _SWIe < l<Nqb"_LS" 3]l3Tq <`rqS<l` 9 "SzH
|









&

p&

 &

?

&

&

 Sq

'

(8( (z( 

z(R( (z(

ba

Pa dc

fee

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

:+
ote xx*3J:s@e_" _ SebsSqFfQ xs SexH& Q(
A A)@9C9CC A)A)>o5oI CUA/>9G>U>>A)8:95;&%&%AHAH(( A)A)>o5oI CUA/>GUGG9@: CbCb CUC985
AUA/C @oIA)G!85^AHG^&%AHL( gq @oIA9AH<@ Cb C<
A A)@9C9CC CbCb= :9<C9>9;UC9@U:U59G9CU:>9<H8bC&&G9G9(( CbCb= :9<C9>9;9CU8U>9C9@9;> CbCb CCGA
AUA/C Cb 8:>9CU@9>U;9C$&G9f( n( Cb 8:>A/;9; Co C^A
A A)@9C9CC CbCb CCA/A)C9G@9;U8U;U;:^G!A/8b>&&A)A)(( CbCb CCA/A)CUG9@;U8:!8G CbCb C9CU8@
AUA/C Cb CA)G>U>859>&A)( Cb CA)G9><!; Cb C<
: A)@9C9CC 5G9>oAxI8A)GG;U@U@958[;b&%&%A)A)(( J:e_ 5G9>oAx 59C9>9>8:;: CbCbBBA/A)8;
AUA/C GU:=G5^AHG9:&%A)( Lgq GU:IA/>98< CbBA)>
: A)@9C9CC CbCb ;U:959@9CUCU:G88G^<!8bAU&%&%AHAH(( CbCb ;U:959@9CCUC^AH<A9GA CbCb CUC98;
AUA/C Cb :U:C9@98U5<&%$AH( fn( Cb :U:CU>9>9C Cb CA
: A)@9C9CC CbCb CUCUC9C95959;9@U89@985U@9@9>C&&A)A)(( CbCb CUCUC9C95U5U;9@5<98b<U<A CbCb 85UCC
AUA/C Cb CUC8G8UC:@&A)( Cb CUC8G9G9G^A Cb 85
3fbsA9AU.
J:e_xbS1x+:oexxo8leS_xnxs>S_xbsSes@ob
efno__ob C^=: \,C CU@o7"CV A)C9C (febefS#Txso"z1S
Nt genSoN bSqf(fboS<_(TS_xVTTSo_l
x_ons3eoePTS_xSexxeo
e

PTSSsq"

e
 
i JL[r[NG`R

European Asian
 Call Gamma

European Asian Call Delta

=0.4, r=0.1, q=0, T=0.25, K=100

=0.4, r=0.1, q=0, T=0.25, K=100

1

0.04

a0.01_R1_N64
a0.02_R1_N32

0.8
0.03

Gamma

0.6

Delta

0.02

0.4

0.01
0.2

a0.01_R1_N64
a0.02_R1_N32

60

A)5^.
&

80

S

100

VL

120

E$

140

60

80

S

100

120

+ P~
RE C^ CUG
y
?
|


;

8

^
C

^
C
A
Q
'
|

U
5
^
G

5 =: C 5
N )(

140

3_xoe oQxe zsefb xnn1x>

oS"f#z`Pf-o#`Se_x:S_x#
#1obS_xf3sbge_xle@q(bSPb`_obqlS]e _qbxeb`|@SqfxPTes z|eo
exsQfSoQboe3osSblQ#So
F
xb
<
eSose Io_q*qfxfxo o ff b eS"Les_x@ <xsb QPeLqfo_x

ba

Pa dc

fe
 !#39IX"I
b<oeSS"(f||__nosnefS_x|xdSoz_"f s o_Dxb osS3 A6
1<xsbsonSPfS_x
_*ngosbxn_x1exSD3oSo_Ssno_
ez@oQxb-bSxOr3P3obxbsS_xf_s`efbsfb#@3of>`o51ex eooe
xbS_fSe_sPTesoexbs Sbf (_eJMLN+ neoofbo"eSgqTS"SobS
x
IxbrJMLN+ Sx_@so*eqoosx_s 8__sSe"&1Sooxs#`ooP8(e(fex"
ebT(eoSoexbsn(xSnlSe1S_oxbS_ Sxnos"S_xb_e|S81
o_eee#Sxnos_o(L beex_fS_xeqoo}Y ozxfobs_es_nsbfST
_leo#__ozAH{#| xeeLesboxoSox@xSxIx`zxsnoeTx"oge
ogDebSqonosSoSoTeo|x5_bsPszeqon
t son_xI( xooexqQxes+1xxsn`
#b<-`ebToe _qTe]Q
x@*@_b8fz`Pf8xesdge%sSbxxS_qP`DsxSx@Lesfb
ogDbSsroxnsTS" esn"rO |_nxS SqfQxqqfz(xxosSboIlenebf
JMLN8+ x  SyQ feszSooq
+ S"Pf_s_#eo:+ oexx#`Qs>P`Sqf_x`1Sfq
exqf_wf_l-x&1exSxfo_)("`_S"xoqx,$Sxx_S(xqf_o
oefSs&n xb
n-1x1es8SonS_bo `HL( -QSoxS_x`do
nSofSoS1xe`"xbqo(fe@sb-S@1xSoSoo_b_b_o
eIx`o
feSPf_s#sboefSfbxse_fboS<_(TS_x b<xT_IL"xbS
ofboSxqS|qo"qTfe_xbxooe<@_(TesbQseoE:
+ bS"fxSx -bb*ST
o_-SbnSb@nx oSqf]3=<)6X&IoPqP:"SSe_xs_#Pe_fV3 59>6oSeo_Tob
xX
~ xze<xfz x_boR3 S>!q6
(TeP((bSebfzSo_oooxPfd1xxSPxfeoxQg3xxPToezs_bge`s""#xSe(_oTxenoSPsfS_Se o
f#x_STf_oQxesb5ge#bxSesd1fSoe5bosSgebTesb5oe
o3xooeq
n_xoxnSsS_x-sSrJMLN
+ SoozfeSo`#s@xs@_o|nosPfS"fb
_eSxoPfefno_soeqo"-f8feS_q,ON `bqwxSeo|#bgeso_exs"seo
bSos)Qxb_noe:eo"LS_xzbSfdeex_fS_xneqoo}Y oqJRLS+ neoo
fnxe:"xSs_zofoSeSbq#SgebTesb@b`_oSosexosTfe@sbxe_Sbxsb
_*Sxqfxb*`bfSPf_eLesb
zx_e*xozf_S"x s o_5xb osS,3BA#r6 oeo-ngo_oxnPf+xooeq
fb`"8STf_o(feoTSorbxesb+ofno__b_b(n`ef
xqx"(`"oesS_Qfb(_q@bxq/fT 1xSbzPTSSQxb
neox|qfx|Tx:oeSl
bq*xebfS_ @|SoPx_oSb-<xqfsS*So(f@_#b 1& nso_#b"(
 5 "@ b@ D)
ObxQq`xbe_w __x|_qbexe bfox (f ] PqbxSKot  wfebS_"_`zL _xns_ S S+fwe
+ nQt xS@xoK_L 1xS(bx`1wo>Joe_`

be`_xbd`bxx"lesbfb8xnnq-oPSx`bo`e%sbfSeo W _
L fSSnf:+ oSx
z
x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[

!

#"

%$

%&

e 
 
i JL[r[NG`R
 !@ 5U

')(*,+.-0/214353768#9;:<-4=?>4@)ACBD#EGFIHJLKM4NPORQSTHUKVWXQCKY%ZSQ\[.]^ WXJ_M `aERWbQcSd.K]Me]M0VgfihjKQUJkHC]M\O ]Nmlbn

o Kpd.KM#V KM4Nqd#NrJkSM.YUD#+.-.stBuC@5v6wAC@5vxBytz|{c(T}}~2 (' T*,+.-#:28#9XuCBT6yB87D.-#4uCycXAC>7D./-4Bj68GD#68#9:<-.7@5.AC87D..uC@5v6ACB,g148.@5T6AC@58G' ~w*a/-Bj686849<-T%uTDKYCYK^xORQSTHUKYCYKYU0fYUJr]Mqd#NrJrSM4Y%]M0V OiKQLd.KNrWbJmNrJLKYCD 6wAC>4Bj6wAC@63
@58#684B{c(}}~i~x}X' *asg-7st1.uCBy84BD]T`W4KQUQCK0KQJkKY ZSQgfYCJk]M]M#VqRNml.KQqd#NrJkSM.YUD78.@5vxBuCy@)A2;B301.uC8.B
uCX@8.,#60Bu{k4BG-7(}}}' T*j- -71.uC8X41.336849P- -0=e6xBj687D0fRWXJkHUaf2^ `xSQUJ_NmlXhZSQORQJkHJmMX`aERWXQSd.K]MfiKQc]T` K
qd#NrJrSM4YCD0+b-#@587-01#68XAT-.:i8#63)by@5y2#{c(T}}b(w ~xX' w*, -07BvX68#9\0- -#1buC8X414353rD#fiKQ]T` KUM.NpK^_^ J` KM#HKD.i@y{k4B7-(T}}x' T*j-%%1.uuU687Da[.]^ WXJ_M `|ftYCJk]M?]M0VOiSQUN ZS^ JrSIqd#NrJkSM4YIPSM0VJ_NrJrSM4J_M `SMNml.KiKShjKNrQUJkH
K]M;ORQJkHUKD068#6B,B8XA2X@5B84BD#0{c(}} (wxX' w*,P-XiBuCy 68#9-bX>4@rD7l4K;[.]^ W4KScZt]MjftYCJk]Mqd#NrJkSM.Db+.-.:2.435@5BT9,uC#64@535@5Ap;#|{c(}}
(T ' }w*,:<- -#R6uCvxBuC>.@5336849;P- +.-0%35B 35 D%^KJk^KjPSM.S^ WXNrJkSM.D#i@y{k:i.uC@53(T}}xi ')(Tw*j -X2B@58.BuTDPSM.S^ WXNrJkSM KNml.STVYZSQ EPxSNrJkHgqd#NrJkSM.YUD AU635,6AR~uU9%35144@6p+x:28b
_BuCB84BD#B uC0D46uCU>|bD(}}}b')((*j:<- - - B,8#668#9 - 2- uCycATDifORQJrHJ_MX` KNml.STV;ZSQeqd#NrJkSM4Y;2]YKVSMfiKQc]T` K
[.]^ W4KYCD0+1.uC8#63R68.X@8.,6849;@58#684B,z e{c(}}x((~b')(wT*-.417Dxsg- -X69468;68#9j- =e684b-.O QUJkHJ_M `ftYCJk]Mqd#NrJkSM.YfPSh2db]QUJ_YSM|ScZ fiM#]^ NrJkHC]^
]M#V SM4NpKP]Q^5S KNml.STVYCD+b-0%,41.AU6wAC@58#63@584684B,{c(T}}}x')(T~w*j-36yyBuCj68GD-/2B@9.B350BuCBu6849-X>#6>46.1#949b@587DfYUhd4NLSNrJkHC]^_^ eqd4NrJ_h,]^UhdbSQn
NL]M#HK0]h2d0^ J_M `j]M0Vg4NrQc]NrJ HU]NrJkSMZSQ O QUJkHJ_M `<O ]Nmlbn o Kpd.KM#V KM4Nqd#NrJkSM.YUD.%3514g.@68.@)
vxBuCy@)Ap uCX@584a460Bu{k+x687-7(T}}x')(*j+.-484BuCy353rDR7l.KCSQScZiJ_M#]M0HJk]^ o KCHJmYUJrSM ]wJ_M `D4i j6868#97@)AAC35B#B39D7(}x ')(wT*j+.-PstB b8.84B68#9-=@535,AATDi@y70{c(}}~a~X%-=@535,AATDP+b-sB b8484B68490/ @5y8GDgqd4NrJkSMORQJrHJ_MX` ]Nml4Kh,]NrJrHU]^ STVxK^ Y]M#V?PShd#WXNL]NrJrSM4D 2bmuU9@58#68.@63
uCByyD(}}~X')(Tw*,-#0v687DXa- -bBAC636849;- :<-.4uCycbAC>GD04J_M `j^5S.J_MX`lXJ`wlXDbi@5y{L6wuC>|(T}}2 (')(wT*,-.v68GDX- :-X4uCycbAC>68#9ja- - PBACT63kD4 SxWXYCNWXhjKQUJkHC]^ KNml.STVYZSQRO o E STVxK^ YtScZ
fYUJr]Mqd#NrJkSM.YCD0+.-#%,G-#@58#684Baz00{c(T}}xX(T}}~}X')(Tw*j-w4uCycbAC>GDTa-PBACT63 6849t<-Tv68GD4PSM.KQk` KM#HKiScZ]NrNrJkHUK ]M0V O o E KNml.STVY#ZSQO QUJkHJ_M `
fYUJr]Mqd#NrJkSM.YCD#8.@5vxBuCy@)Aj=e6ACBuC3 uCX@584a460Bu<{rvxBuCy@8;bBG-# D(}}}')(T}w*,-bv68GDX- :<-X4uCycXAC>7DX68#9,a- <- PBACT63rD o J_YHQKNpKfYCJk]Mi]QQUJLKQaqd#NrJkSM.YUDX284@5vxBuCy@)Apa
=e6wACBuC35 uCb@58.,#60Bu{rvxBuCy@58stB-#~XD(T}}' w*- :<- /-#stB,4ycACBuTD#+.- -0/21.AAC868#9s- -42@5U>#6wuU9.yDG7O[.]^ W.]NrJrSMSZEPxSNrJkH<fih,KQJkHC]M
qd#NrJrSM4Y2EPd0^5SJ_NrJmMX`a4NrQUW4HNrWXQKDG+.-%,41.AU6wAC@58#63@584684B<z.{c(}}iX(' X(*j+.-t:28#9XuCBT6yB87D7l.KORQJrHJ_MX`ScZ o JmYHQKNpK^ 0]h2d0^KV?fYCJk]M]M#VSTSwC]xHUqd4NrJkSM4Y<f
l.]M ` KgScZ2Wbh,KQ]JmQCKf%dxd#QcST]xHUlXD0+b-%,G-.@8468.B<z.g{c(}}2 ' T*j-.=?@35,AATD o KQJ_]NrJ_KYCD0+>48;=@535B DG(T}}b' ~w*j+.-xR6uuU6X146849a6849g- 1#9bBATDxO QUJkHJ_M `ScZ%fihjKQUJkHC]MgOi]Nmlbn o Kpd.KM0V KM.N2PSM4NrJ_M ` KM4NR^5]JmhgYCD
6AC>.Bj6AC@5T63@58#684B<{c(}}xt(wX' *,/-#Bj686849;:-#@9.B36849GD o ShJ_M0S<EKHNrD0i@5y{k:2.uC@53(T}}xiX' T*a=- -4b>46 D STV K^ J_MX`JmM0]M#HJk]^ o KQUJ_]NrJmKY;J_Nml ]Nml.Kh,]NrJkHC]D4R6g.uC@9bB284@5vxBuCy@)Ap
uCByyD(}}}X' w*j+.-%TGD-GiyyD-i14.@584ycACB@587D qd4NrJkSMORQJkHJmMX` f.J_hd0^ J RKVfRdd#QST]xHUl D+.-@58#68.@63
8.,@5yt{c(T}}xi}b' T*,sg-R7B@5yB8GDiO QUJkHJ_M `Nml4KfihjKQUJkHC]MO WXNqd4NrJkSM2f o KNL]Jr^KVPSM.KQk` KM#HK|fiM#]^ YUJmY<ZSQ
J_M#ShgJr]^ STV K^ YCD4284@5vxBuCy@)A%8.8\9.@5y1.yy@58\#60Bu b-#P~{LXB7-(T}}-

ba

Pa dc

fe

x\gO3Hfi Gla @JL[rMJLRf Di G L\Pkli G:[r\_JLRT[



' w*j- <-436yyB8GD41.8441.435@5y>4BT9' }w*-uCx69.@5Bj6849+.-7stBACB,.35BDfihjKQUJkHC]Mqd#NrJrSM[.]^ W.]NrJkSM0K2SWXM0VYCRf%dxd#QSJ_h,]n

NrJkSM.YC]M#V]PShdb]QUJ_YSMScZaEPJ_YCNrJ_MX` KNml.STVYCDiBvX@B t@58#684@63 XAC149.@5Byg{c(}}x
(w ((' ~w*j+.- =- R>.j6yD WXhjKQUJkHC]^RO ]QUNrJk]^ o J 2KQCKM.NrJk]^%EiW.]NrJkSM4Y2JmM4J_NpK o J 2KQCKM#HUK KNml.STVYCD
bbuC@584Bu2PBuC36bD7(}}X' ~b(*-GuC69.@5BD7-G36yyBuCj6868490- 1GDRPSM.MKHNrJ_MX` o J_YHQCKNpK,]M0VPSM4NrJ_M.W.SWXYtO ]Nmlbn
o Kpd.KM#V KM4Nqd#NrJkSM.YUD#@58#68.B6849 AC >46ycAC@5y{c(T}}}x' ~xT*j- R6wuuTDR-R+x6wuuC 6849- b84B84@rD f2^ NpKQUM0]NrJ_Kl.]Qc]xHNpKQUJT]NrJkSM.YSZ;fih,KQJrHU]M?ORWXN
qd#NrJrSM4YCD6wAC>7-4@58#68.B<{c(T}}xiX' ~~w*,sg-46g0BuAC87Db.uC@5v6ACBt,g1.84@5T6AC@58ACj6wuC;uC69b@B' ~*-0PuCx69b@5B68#9;-.17DbbuC@v6ACB,g1.84@5T6wAC@87' ~xT*j+.-4/14353rDPqd#NrJkSM.YCWbNrWXQKYUR]M0V\qRNml4KQ o KQJ_]NrJ_KYCD0uCB8 AC@B/t6353rD4AC>.@)uU9BT9b@5AC@587D(}}X' ~w*j+.- -0>#68..DfiQJmNmlXhjKNrJkHgfYUJr]Mqd#NrJkSM4YgJ_NmlIPSM.NrJ_M4W.SWXYa#]hd#^ J_MX`D%@)A8.@vBuCy@)A|
/84a84 uCX@584a460Bu<{L6|(T}}}x' ~xT*j - -4/t614.D7l4K,PShd0^KNpK,RWXJkV KNLS|qd4NrJkSM;O QUJkHJ_M `gSQhW.^5]YUD#;2uU6 /2@533rD7(T}}X' ~w*-R>.,.y87Di0SUd#JkHYaJ_M ]Nml4Kh,]NrJkHC]^J_M#]M0HUKDP>G- sg-7AC>.By@5yD1.BB84y%335BBR6a
.uC@9bBD7(T}}}b-