A note on pricing Asian derivatives with continuous geometric averaging

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. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 845–858, 1999

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Year of publication:	1999
Authors:	Angus, John E.
Published in:	Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 19.1999, 7, p. 845-858
Publisher:	John Wiley & Sons, Ltd.

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011197128