Paper #680

Título:

Australian Asian options

Autores:

Manuel Moreno y Javier F. Navas

Data:

Febrero 2003

Resumen:

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.

Palabras clave:

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

Códigos JEL:

G13, C15

Área de investigación:

Finanzas y Contabilidad

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