AECO options are Asian style options whose underlying are natural gas futures prices. This model prices a call or put on a commodity whose underlying price is based on a futures contract. The buyer has the option, but not the obligation to receive the difference calculated as the average rate less the strike, in the case of a call, or the strike less the average rate, in the case of a put, as applied against a notional amount. The average rate is the arithmetic average of the closing rates of the futures contract observed over a designated period of time. The style of exercise is European, i.e., there is no early exercise feature.

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