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

RELATED PAGES
- Asian Option
- Arithmetic Asian Option
- Geometric Asian Option
- Power Asian Option


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