Australian Asian options

Manuel Moreno and Javier Navas

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use dierent 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)
JEL-codes: C15 G13 (search for similar items in EconPapers)
Date: 2003-02
New Economics Papers: this item is included in nep-fin and nep-sea
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Citations: View citations in EconPapers (1)

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Working Paper: Australian Asian Options (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:680

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