The distribution of the average of log-normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula

Moawia Alghalith

MPRA Paper from University Library of Munich, Germany

Abstract: We introduce a simple, exact and closed-form formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula. In doing so, we show that the distribution of the continuous average of log-normal variables is log-normal.

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
New Economics Papers: this item is included in nep-ore and nep-sea
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https://mpra.ub.uni-muenchen.de/97324/1/MPRA_paper_97324.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/99089/1/MPRA_paper_99089.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/101546/1/MPRA_paper_101546.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/101778/9/MPRA_paper_101778.pdf revised version (application/pdf)

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