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Asian Option Pricing - Trailing Average as underlying
Hi!An example of the option I am pricing has the underlying defined daily as the average of prices for a given day in the week over the past rolling period of 4 weeks, the option life being 3 months.The investor and the trader are using this determination to trade daily but avoid exposure to an extreme move in the market.I am pricing this every day as a new option starting on the current date and expiring 4 weeks later with 4 end of week fixings to calculate the average.What do you think? Am I ignoring some path dependency?Andre