Download This PaperFixed-Strike European Arithmetic Asian Options: A Comment
11 Pages Posted: 29 Sep 2009
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: 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
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