A New Price of the Arithmetic Asian Option: A Simple Formula

Moawia Alghalith

MPRA Paper from University Library of Munich, Germany

Abstract: We introduce a simple, explicit formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula.

Keywords: Arithmetic Asian option pricing; the arithmetic average of the price; average of log-normal; the Black-Scholes formula. (search for similar items in EconPapers)
JEL-codes: C00 C01 C02 C1 G0 (search for similar items in EconPapers)
Date: 2019-11-30
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