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 different approximations that produce very similar results.

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Year of publication:	2003-02
Authors:	Moreno, Manuel ; Navas, Javier F.
Institutions:	Barcelona Graduate School of Economics (Barcelona GSE)
Subject:	NULL

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 28
Source:	RePEc - Research Papers in Economics

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