O'Reilly logo

An Introduction to Exotic Option Pricing by Peter Buchen

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 9

Asian Options

9.1 Introduction

Asian options were first introduced in the 1990s decade,partly to discourage the possibility of market manipulation. For example, a call option which is currently itm, just before expiry, could be forced otm at expiry, by a sudden down selling of the underlying asset. This would be virtually impossible to do for a fixed strike Asian option. There was an additional benefit, in that Asian options were often much cheaper than corresponding standard options, thus providing a cost effective method of risk management.

Similar to lookbacks, Asian options are path dependent and the standard ones come in floating and fixed strike versions. A floating strike Asian call option is similar to a European call, except ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required