Australian Options

Manuel Moreno and Javier Navas

Australian Journal of Management, 2008, vol. 33, issue 1, 69-93

Abstract: 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.

Keywords: ASIAN OPTIONS; ARITHMETIC AVERAGE; GEOMETRIC AVERAGE; EDGEWORTH EXPANSION; LOGNORMAL DISTRIBUTION; GAMMA DISTRIBUTION (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:33:y:2008:i:1:p:69-93

DOI: 10.1177/031289620803300105

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