A note on pricing Asian derivatives with continuous geometric averaging

John E. Angus

Journal of Futures Markets, 1999, vol. 19, issue 7, 845-858

Abstract: A general expression is derived for the price of a European‐style Asian contingent claim in which the terminal value depends on both the underlying asset price and the continuous geometric average of the price of the underlying asset over the life of the claim. Specific formulas are derived for Asian call, put, and binary options, as well as for the average strike binary options. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 845–858, 1999

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:19:y:1999:i:7:p:845-858

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().