In this paper, arithmetic average Asian options are studied. It is observed that the Asian option is a special case of the option on a traded account. The price of the Asian option is characterized by a simple one-dimensional partial differential equation which could be applied to both continuous and discrete average Asian option. The article also provides numerical implementation of the pricin...

Arithmetic Asian or average price options deliver payoffs based on the average underlying price over a prespecified time period. Asian options are an important family of derivative contracts with a wide variety of applications in currency, equity, interest rate, commodity, energy, and insurance markets. We derive two analytical formulas for the value of the continuously sampled arithmetic Asian...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for which no analytical solution is available. Pricing their American-style counterparts, which provide early exercise opportunities, poses the additional difficulty of solving a dynamic optimization problem to determine the optimal exercise stra...

Asian options are averaging options where the terminal payoffs depend on some form of averaging prices of the underlying asset over a part or the whole life of the option. Averaging options are particularly useful for business involved in trading on thinly traded commodities. These types of options are used by traders who are interested to hedge against the average price of a commodity over a p...

Arithmetic Asian or average price (rate) options deliver payoffs based on the average underlying price over a pre-speciÞed time period. Asian options are an important family of derivative contracts with a wide variety of applications in currency, equity, interest rate, commodity, energy, and insurance markets. We derive two analytical formulae for the price of the arithmetic Asian option when t...

In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas, Dhaene and Goovaerts (2000), and additionally, the ideas of Roger...

This paper has its origin in that developement in the analysis of Asian options initiated by [Y]. Yor’s valuation formula gives clear evidence that pricing Asian options is a problem of some intrinsic difficulty indeed for which no, in the strict sense, simple solution should be expected. Instead, one should, as a first step, ask for structurally clear solutions, and only then, as a second step...

Taking advantage of the recent literature on exact simulation algorithms (Beskos et al. [1]) and unbiased estimation of the expectation of certain functional integrals (Wagner [23], Beskos et al. [2] and Fearnhead et al. [6]), we apply an exact simulation based technique for pricing continuous arithmetic average Asian options in the Black & Scholes framework. Unlike existing Monte Carlo methods...