Asian Options

Also known as Average Options
This type of option has its payoff determined by the average price of the underlying over a defined period of time.
These options are path dependent
The settled amount is the difference between the strike price and the average price over a defined period.

This average can be a geometric average or an arithmetric average.
One advantage is that they reduce the risk of market manipulation of the underlying asset at maturity.

Payoff Equation

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How to Price

Variance Gamma model can be efficiently implemented when pricing these options.

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