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Australian Asian Options

Author

Listed:
  • Manuel Moreno
  • Javier F. Navas

Abstract

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.

Suggested Citation

  • Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona School of Economics.
    • Handle: RePEc:bge:wpaper:28
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    References listed on IDEAS

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    Cited by:

    1. Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.

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    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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