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Approximating Arithmetic Asian Options With Corresponding Geometric Asian Options

In: Exotic Options A Guide to Second Generation Options

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  • Peter G. Zhang

    (Capital Markets Research, Chase Manhattan Bank, USA)

Abstract

The following sections are included:INTRODUCTIONTHE GENERAL MEANPROPERTIES OF THE GENERAL MEANTHE DIFFERENCE BETWEEN ARITHMETIC AND GEOMETRIC MEANSAPPROXIMATING ARITHMETIC MEANS WITH GEOMETRIC MEANSAPPROXIMATING ARITHMETIC ASIAN OPTIONS WITH GEOMETRIC ASIAN OPTIONSCONTINUOUS ARITHMETIC ASIAN OPTIONSARITHMETIC-AVERAGE-STRIKE ASIAN OPTIONSGENERAL MEANS AND LOOKBACK OPTIONSAN APPLICATIONCONCLUSIONSAPPENDIXQUESTIONS AND EXERCISES

Suggested Citation

  • Peter G. Zhang, 1998. "Approximating Arithmetic Asian Options With Corresponding Geometric Asian Options," World Scientific Book Chapters, in: Exotic Options A Guide to Second Generation Options, chapter 6, pages 133-159, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812384966_0006
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