The distribution of the average of log-normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula

We introduce a simple, exact and closed-form formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula. In doing so, we show that the distribution of the continuous average of log-normal variables is log-normal.

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Year of publication:	2019-11-30
Authors:	Alghalith, Moawia

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Alghalith, Moawia (2019): The distribution of the average of log-normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula.
Classification:	C00 - Mathematical and Quantitative Methods. General ; C01 - Econometrics ; C02 - Mathematical Methods ; C1 - Econometric and Statistical Methods: General ; G0 - Financial Economics. General
Source:	BASE

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