Australian Options

We study European options on the ratio of the stock price to its average and vice versa. Some of these options have been traded in the Australian Stock Exchange since 1992, thus we call them Australian 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:	2008
Authors:	Moreno, Manuel ; Navas, Javier F.
Published in:	Australian Journal of Management. - Australian School of Business. - Vol. 33.2008, 1, p. 69-93
Publisher:	Australian School of Business
Subject:	ASIAN OPTIONS \| ARITHMETIC AVERAGE \| GEOMETRIC AVERAGE \| EDGEWORTH EXPANSION \| LOGNORMAL DISTRIBUTION \| GAMMA DISTRIBUTION

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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