’s lemma and self-financing dynamic strategy. With the boundary condition, an analytic formula for the option with geometric … average starting at any time before maturity is derived by solving the PDE, and the option with arithmetic average is …

's lemma and self-financing dynamic strategy. With the boundary condition, an analytic formula for the option with geometric … average starting at any time before maturity is derived by solving the PDE, and the option with arithmetic average is …

option, European Asian option, fixed/floating strike, arithmetic/geometric average, flexible Asian options, arbitrage ….1) Eµcparenleftbig(AT−K)+ |Fτparenrightbig and Eµcparenleftbig(K−AT)+ |Fτparenrightbig 14 The geometric average British Asian call … Eµcparenleftbig(AT−ST)+ |Fτparenrightbig The geometric average British Asian call/put option with floating strike:(6 …