Download This PaperThe Pricing of Asian Options on Average Spot with Average Strike
20 Pages Posted: 14 Nov 2006
Date Written: October 1, 2003
Abstract
We introduce a new type of an Asian option, the so-called Average Spot with Average Strike-option. The characteristic feature of this options is that the strike itself is a mean of stock prices. We derive three methods to price this options and conclude our paper with numerical results.
Keywords: Exotic Options, Asian Options, Average Options, Moment Matching
JEL Classification: G13
Suggested Citation: Suggested Citation
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