✦ LIBER ✦
A note on pricing Asian derivatives with continuous geometric averaging
✍ Scribed by Angus, John E.
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 177 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
A general expression is derived for the price of a European-style Asian contingent claim in which the terminal value depends on both the underlying asset price and the continuous geometric average of the price of the underlying asset over the life of the claim. Specific formulas are derived for Asian call, put, and binary options, as well as for the average strike binary options.