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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
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