Costabile, Massimo; Massabó, Ivar; Russo, Emilio - In: Review of Quantitative Finance and Accounting 27 (2006) 3, pp. 285-296
We propose a model for pricing both European and American Asian options based on the arithmetic average of the underlying asset prices. Our approach relies on a binomial tree describing the underlying asset evolution. At each node of the tree we associate a set of representative averages chosen...
