The purpose of this paper is to analyse the effect of stochastic interest rates on the pricing of Asian options. It is … correlated two dimensional Ito processes. The averages considered in the Asian options are calculated on a discrete time grid, e …

The aim of the paper is to develop pricing formulas for European type Asian options written on the exchange rate in a … shown how the value of this option can be approximated as the sum of Black-Scholes options. The formula is obtained under …