Australian Asian options
AbstractWe 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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Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 680.
Date of creation: Feb 2003
Date of revision:
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Web page: http://www.econ.upf.edu/
Asian options; arithmetic average; geometric average; edgeworth expansion; lognormal distribution; gamma distribution;
Other versions of this item:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-26 (All new papers)
- NEP-FIN-2004-05-26 (Finance)
- NEP-SEA-2004-05-16 (South East Asia)
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