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Asian Option Pricing Based on the Standardized Logarithm of Geometric Average

Abdolrahim Badamchizadeh; Narges Heydari

Volume 20, Issue 63 , July 2015, , Pages 71-88

https://doi.org/10.22054/ijer.2015.4094

Abstract
  An Asian option (or average value option) is a special type of option contract‎. ‎Its payoff is determined by the average underlying price over some pre-set period of time. ‎Asian option is hard to price analytically and numerically‎. ‎There is no exact solution for these options ...  Read More