Australian Asian options

Research, Preprint English OPEN
Moreno, Manuel ; F. Navas, Javier (2003)
  • Subject: edgeworth expansion | Finance and Accounting | gamma distribution | asian options | lognormal distribution | Asian options, arithmetic average, geometric average, edgeworth expansion, lognormal distribution, gamma distribution | arithmetic average | geometric average
    • jel: jel:C15 | jel:G13

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 different approximations that produce very similar results.
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