Fixed-Strike European Arithmetic Asian Options: A Comment

11 Pages Posted: 29 Sep 2009

See all articles by Carole Bernard

Carole Bernard

Grenoble Ecole de Management; Vrije Universiteit Brussel (VUB)

Phelim P. Boyle

Wilfrid Laurier University - School of Business & Economics; University of Waterloo

Will Gornall

University of British Columbia (UBC) - Sauder School of Business

Date Written: September 27, 2009

Abstract

There is considerable interest in finding numerical methods to price Asian options. Tse and Mok (2009) have proposed a new very simple closed-form expression for the price of a fixed-strike Asian option. Unfortunately their formula is not correct. This note shows that it is incorrect and explains why.

Keywords: Asian options, Tse and Mok formula, pricing

JEL Classification: G13

Suggested Citation

Bernard, Carole and Boyle, Phelim P. and Gornall, Will, Fixed-Strike European Arithmetic Asian Options: A Comment (September 27, 2009). Available at SSRN: https://ssrn.com/abstract=1479321 or http://dx.doi.org/10.2139/ssrn.1479321

Carole Bernard (Contact Author)

Grenoble Ecole de Management ( email )

12, rue Pierre Sémard
Grenoble Cedex, 38003
France

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Phelim P. Boyle

Wilfrid Laurier University - School of Business & Economics ( email )

Waterloo, Ontario N2L 3C5
Canada
519 884 1970 (Phone)
519 888 1015 (Fax)

University of Waterloo

Waterloo, Ontario N2L 3G1
Canada

Will Gornall

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada

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