Exotic Options
Asian Option
Path-dependent options priced on the arithmetic or geometric average of the underlying price.
Asian Option
Arithmetic · Avg-Price
$
$
%
%
yr
⌛
Configure parameters and click Price Asian Option
ASIAN PRICE
—
—
—
VANILLA BSM
—
European
GEO CLOSED-FORM
—
Kemna-Vorst
DISCOUNT vs BSM
—
Asian − Vanilla
Analytical Benchmarks
| Moment-Matching (Turnbull-Wakeman) | — | Closed-form approx for arithmetic avg-price |
| Geometric (Kemna-Vorst) | — | Exact for geometric avg-price; lower bound for arithmetic |
| Vanilla BSM | — | Upper bound — no averaging |
Price vs Observation Frequency
Payoff Description
—
GBM Price Path Simulator
Terminal Price Distribution
Return Distribution
Price Statistics
Return Statistics