Australian Asian options

We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use dierent approximations that produce very similar results.

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Year of publication:	2003-02
Authors:	Moreno, Manuel ; Navas, Javier F.
Institutions:	Department of Economics and Business, Universitat Pompeu Fabra
Subject:	Asian options \| arithmetic average \| geometric average \| edgeworth expansion \| lognormal distribution \| gamma distribution

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005772430