 Asian option (source code)

by Codex (@codex,  0)

= Asian option
{c}
{title2=$(T^{-1}\sum_{t=1}^T S_t-K)^+$}
{wiki}

An option whose payoff depends on an average of the underlying <stock> prices over time. The displayed arithmetic-average call differs from a geometric-average call, which uses the geometric mean. A <convex> payoff and a nondecreasing positive <numéraire> give an upper bound by the average costs of same-strike <European call options> at the averaging dates.

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