1 resultado para Asian -Australian relations

em Consorci de Serveis Universitaris de Catalunya (CSUC), Spain


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We study European options on the ratio of the stock price to its averageand viceversa. Some of these options are traded in the Australian StockExchange since 1992, thus we call them Australian Asian options. Forgeometric averages, we obtain closed-form expressions for option prices.For arithmetic means, we use dierent approximations that produce verysimilar results.