PROCEEDINGS IPMU '08
Note on Weighted Average Strike Asian Options
Masatoshi Miyake, Hiroshi Inoue
Asian options are path-dependent
and have payoffs which depend on
the average price over a fixed period
leading up to the maturity
date. This option is of interest and
important for thinly-traded assets
since price manipulation is prohibited,
and both the investor and issuer
may enjoy a certain degree of
protection from the caprice of the
market. There are several nice results
for the average options with
different approaches. In this paper,
we consider to propose a more general
weight instead of usual simple
average, for which it may be possible
to control the weights in the light
of unexpected situation incurred. In
particular, we focus on strike Asian
option with weighted average of asset
prices.
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