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Australian Options

Author

Listed:
  • Manuel Moreno

    (Universidad de Castilla-La Mancha, Cobertizo de San Pedro Mártir s/n, 45071 Toledo, Spain.)

  • Javier F. Navas

    (Universidad Pablo de Olavide, Ctra. de Utrera. Km. 1. 41013 Sevilla. Spain.)

Abstract

We study European options on the ratio of the stock price to its average and vice versa. Some of these options have been traded in the Australian Stock Exchange since 1992, thus we call them Australian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce very similar results.

Suggested Citation

  • Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
  • Handle: RePEc:sae:ausman:v:33:y:2008:i:1:p:69-93
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    References listed on IDEAS

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    Cited by:

    1. Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013. "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1001-1018.

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