Square-Root Asian Option
We define the square-root Asian option as an option where the payoff depends on the difference between the square root of the geometric average price of the underlying asset during the life of the option and the square root of the strike price. The payoff from a square-root Asian call option is therefore
And, the payoff from a square-root Asian put option is
Exercise: Derive a formula for square-root Asian call and put options (for geometric average). DERIVATION
Basic Financial terms in Corporate and Mathematical Finance |
Selection of assets, risk and return, and portfolio analysis |
View the online notes for Financial Mathematics (CT1) |
Learn Financial Computing with C++ step by step |