The Distribution of the Arithmetic Average of Log-Normals and the Price of the Asian Option

We show that the distribution of the arithmetic, continuous average of log-normal variables is log-normal. We also introduce a simple, explicit formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula

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Year of publication:	[2022]
Authors:	Alghalith, Moawia
Publisher:	[S.l.] : SSRN
Subject:	Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 25, 2022 erstellt
Other identifiers:	10.2139/ssrn.4171994 [DOI]
Classification:	G0 - Financial Economics. General ; C0 - Mathematical and Quantitative Methods. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013403986