Fixed-Strike European Arithmetic Asian Options: A Comment
11 Pages Posted: 29 Sep 2009
Date Written: September 27, 2009
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: Suggested Citation