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Volume 33 Number 1 June 2008 |
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Australian Options |
| Manuel Moreno and Javier F. Navas
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Abstract |
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We study European options on the ratio of the stock price to its average and vice versa. Some of these options have been traded in the Australian Stock Exchange since 1992, thus we call them Australian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce very similar results.
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Keywords |
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ASIAN OPTIONS; ARITHMETIC AVERAGE; GEOMETRIC AVERAGE; EDGEWORTH EXPANSION; LOGNORMAL DISTRIBUTION; GAMMA DISTRIBUTION
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Contact DetailsManuel MorenoUniversidad de Castilla-La Mancha, Cobertizo de San Pedro Mártir s/n, 45071 Toledo, Spain. Javier F. Navas Universidad Pablo de Olavide, Ctra. de Utrera, Km. 1, 41013 Sevilla, Spain Email: manuel.moreno@uclm.es |
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This page was last updated in September 2008. Copyright © The University of New South Wales Phone: +61 2 9931 9200; Email: eajm@agsm.edu.au |