American asian option

gyuan1 · October 27th, 2002, 8:06 pm

Hi, all:Right now I try to play the American type asian option with arimetric average from daily market price observed (not the average for the strike price, and which allows the holder of the option to exercise any time before the maturity, i.e., american type), does any one likes to discuss it and show me either VBA or C/C++ code or tell me some resource if possible? Thannks from GG

daredevil747 · December 5th, 2002, 9:58 am

I read this paper a few months ago, it said something about the fact that american asian options do not make sense coz they are susceptible to price manipulation near the time of exercise, I don't remember much abt the details of it..suggest that u check it up ) (meaning : I am too lazy to go thru it again!!)KEMNA, A. AND A. VORST “ A pricing method for options based on average asset values”, Journal of Banking and Finance, 14(March 1990), 113-29DareD