Australian Asian Options
Australian Asian Options
We study European options on the ratio of the stock price to its average and vice versa. 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.
Asian options, arithmetic average, geometric average, edgeworth expansion, lognormal distribution, gamma distribution, gamma distribution, geometric average, edgeworth expansion, lognormal distribution, Finance and Accounting, arithmetic average, asian options, jel: jel:G13, jel: jel:C15
Asian options, arithmetic average, geometric average, edgeworth expansion, lognormal distribution, gamma distribution, gamma distribution, geometric average, edgeworth expansion, lognormal distribution, Finance and Accounting, arithmetic average, asian options, jel: jel:G13, jel: jel:C15
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