Paper #680

Títol:

Australian Asian options

Autors:

Manuel Moreno i Javier F. Navas

Data:

Febrer 2003

Resum:

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.

Paraules clau:

Asian options, arithmetic average, geometric average, edgeworth expansion, lognormal distribution, gamma distribution

Codis JEL:

G13, C15

Àrea de Recerca:

Finances i Comptabilitat

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