QuoteOriginally posted by: Kamil90There is really only one question: how to price a forward start option that can be exercised at any time after a week it is been initiated and the payoff is max(S_T-K,0), where strike K is the average of the stock prices for the last week. All the rest is fixed, in Black Scholes framework.I have written that I want an optional "exercise" feature, however you are right, I should have written mathematically. Anyways, even optional forward start is a good option to consider but it is really tricky how to price an American type option that pays average for the last month...I am not sure they exist but I want to know how to price them. It is interesting!

Kamil,There is a symmetry result for forward starting Asians. Effectively a forward starting (or floating strike) Asian is equal to a fixed strike Asian but with different parameters. Have a look here: I guess you re looking to apply this to commodity ?http://www.sciencedirect.com/science/ar ... 001061Kind Regards,Panos