Closed Formulas for Asian Options

Darya11 · February 17th, 2011, 10:36 pm

Hello,I am looking for closed-form formulas 1) for discretely monitored Asian-style Options 2) for Forward Starting Asian Options 3) and for Asian Options with monitoring starting at inception and ends before maturity (so called fixed start options).I know that such formulas exist, because I found some articles about that in the internet, but they aren't in free access.It would be nice if anyone could help me on that.Thanks in advance!

spursfan · February 18th, 2011, 7:44 am

Just because a paper says that it has a closed-form solution doesn't necessarily make it easy or quick to calculateMuch better to look at look at the Roger Lord paper that uses numerical integration to get very accurate estimates for Asian options with discrete sampling

RiskUser · February 18th, 2011, 4:33 pm

Have you tried moment matching for the max(A - K,0) case?QuoteOriginally posted by: Darya11Hello,I am looking for closed-form formulas 1) for discretely monitored Asian-style Options 2) for Forward Starting Asian Options 3) and for Asian Options with monitoring starting at inception and ends before maturity (so called fixed start options).I know that such formulas exist, because I found some articles about that in the internet, but they aren't in free access.It would be nice if anyone could help me on that.Thanks in advance!