Which of the following statements is FALSE?
A)Asian calls are always worth less than the corresponding vanilla calls.
B)Asian puts are always worth less than the corresponding vanilla puts.
C)Arithmetic-average Asian calls are always worth less than the corresponding vanilla calls but geometric-average Asian calls may be worth more.
D)At low volatilities,all Asian options are worth less than the corresponding vanilla options,but at high volatilities they may be worth more.

Question

Quizplus · Accepted Answer

Asian puts may be sometimes be worth more than vanilla puts.

Which of the Following Statements Is FALSE