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Asian option

Asian option or either of put or call type:
Asian call Pay-off=max(ni=1S(ti)/n-K,0), for 0≤t1<t2...<tn≤T
Asian put Pay-off=max(K-ni=1S(ti)/n,0) for 0≤t1<t2...<tn≤T
Not even in the Black-Scholes case, does there exist a closed form expression for the value of the Asian options. There are however different approximations available. It also possible to use Monte-Carlo techniques or PDE methods to price Asian options.

 

Questions: Magnus Wiktorsson
Last update: 2010 Jan 05 17:05:08. Validate: HTML CSS

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