Asian option

Asian option

Option based on the average price of the underlying assets during the life of the option.

Asian Option

An option contract in which the payoff is related to the average price of the underlying instrument over a set period of time. There are two basic types of an Asian option. In an average strike option, the underlying instrument is bought or sold at its average price over the period of the contract. In an average rate option, the payoff is the difference between the average price of the underlying asset over the life of the contract and some stated strike.

Asian option

An option with a payoff that depends on the average price of the underlying asset during a period of time during the life of the option.
References in periodicals archive ?
You could throw in an Asian option with cuapao buns, some hoisin sauce and Sriracha, fresh cilantro leaves, spring onions and cucumber.
Chen and Lyuu (2007) came up with a close-form solution for arithmetic Asian option using the approximation of arithmetic average through geometric average appeared.
GERS IN ADMIN: THE ASIAN OPTION CARDIFF owner Tan Sri Vincent Tan Chee Yioun flew for 13 hours across the world to watch Malky Mackay's City side draw 1-1 with Watford on Easter Monday.
In fact, the IDI option is similar to an Asian option on the geometric average of the one-day interbank interest rate (CDI), between the trade date and the expiration of the option.
2006) for Asian option pricing in the Black and Scholes framework.
Secretary General Annan's term for another five years in 2002, and that it would now be ''fair to come back to (an) Asian option.
The airport has seen a substantial increase in the number of passengers from mainland China, and SSP recognised that a traditional Asian option would be most popular with these travellers.
The outline of the rest of the paper is as follows: the first section describes the constant elasticity of variance (CEV) process The following section develops the binomial tree method to the valuation of arithmetic Asian option under the CEV process, and the convergence of the binomial tree method is indicated using numerical example.
As noted by Almeida and Vicente (2006), an IDI option is just an Asian option whose payoff is a function of the short-term rate through the path between the trading date t and the option maturity date T.
Chapter 4 is a discussion of plain-vanilla options, as well as more exotic options such as the floating strike price Asian option (p.
The article also presented an easily computable upper bound for the price of an arithmetic Asian option.

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