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Australian Asian Options

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Author Info
Manuel Moreno
Javier F. Navas

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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.

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Publisher Info
Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 680.

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Date of creation: Feb 2003
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Handle: RePEc:upf:upfgen:680

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Related research
Keywords: Asian options; arithmetic average; geometric average; edgeworth expansion; lognormal distribution; gamma distribution;

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Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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  1. De Schepper, A. & Teunen, M. & Goovaerts, M., 1994. "An analytical inversion of a Laplace transform related to annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 33-37, April. [Downloadable!] (restricted)
  2. Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November. [Downloadable!] (restricted)
  3. Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany. [Downloadable!]
  4. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March. [Downloadable!] (restricted)
  5. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 449-473, June. [Downloadable!]
  6. Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, vol. 6(3), pages 355-370. [Downloadable!] (restricted)
  7. Bouaziz, Laurent & Briys, Eric & Crouhy, Michel, 1994. "The pricing of forward-starting asian options," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 823-839, October. [Downloadable!] (restricted)
  8. Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995. [Downloadable!]
  9. Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 377-389, September. [Downloadable!]
  10. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
  11. Merton, Robert C, 1975. "An Asymptotic Theory of Growth under Uncertainty," Review of Economic Studies, Blackwell Publishing, vol. 42(3), pages 375-93, July. [Downloadable!] (restricted)
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  12. Alziary, Benedicte & Decamps, Jean-Paul & Koehl, Pierre-Francois, 1997. "A P.D.E. approach to Asian options: analytical and numerical evidence," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 613-640, May. [Downloadable!] (restricted)
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This page was last updated on 2009-11-13.

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