Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance Research Letters 5 (2008) 3, pp. 162-171
We show that under the Black-Scholes assumption the price of an arithmetic average Asian call option with fixed strike increases with the level of volatility. This statement is not trivial to prove and for other models in general wrong. In fact we demonstrate that in a simple binomial model no...