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A unified approach for the pricing of options relating to averages

Hideharu Funahashi () and Masaaki Kijima ()
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Hideharu Funahashi: Mizuho Securities Co. Ltd.
Masaaki Kijima: Tokyo Metropolitan University

Review of Derivatives Research, 2017, vol. 20, issue 3, 203-229

Abstract: Abstract In this paper, we consider generalized Asian options and propose a unified approximation method for the pricing of such options when the underlying process is a diffusion. Through numerical examples, we show that our approximation method is accurate enough to be used in practice for the pricing of any type of Asian options that has been treated separately in the literature. Comparisons are made with the existing methods in the literature to support the usefulness of our method.

Keywords: Generalized Asian option; Floating strike; Fixed strike; Discretely sampled; Continuously sampled; Forward-starting; In-progress; Australian-Asian option (search for similar items in EconPapers)
JEL-codes: G12 G13 G17 (search for similar items in EconPapers)
Date: 2017
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