Pricing of Asian options has its own specific due to the fact that option’s payoff function depends on not only underlying asset’s price on the maturity, but on overall price dynamics. Curran’s approximation is one of the developed by modern financial theory methods of Asian options pricing. Curran Model to Calculate the Value of Asian Options Emmanuel N JAN RÖMAN Department of Mathematics and Physics Mälardalen University SE-721 23 Västerås, Sweden. ABSTRACT Asian options are options in which the underlying variable is the average price over a particular period of time. Because of this reason, Asian options have a lower.
About M. Curran’s method for Asian options. Abstract. The article refers to the calculation of the cost of Asian option. In particular, we show that the realization of proposed M. Curran method for sian A ’s option based on the fact that the rithmetA ic Mean is always no less than the Geometric Mean can be greatly simplified. An Asian option (or average value option) is a special type of option contract.For Asian options the payoff is determined by the average underlying price over some pre-set period of time. This is different from the case of the usual European option and American option, where the payoff of the option contract depends on the price of the underlying instrument at exercise; Asian options are thus.
Asian Options - Curran's Approximation Template. Component. Resolution - Exotic Options. Brief. Use this template to price an Asian option using Curran's Approximation. Worksheet. Description. Option Analysis. This sheet contains the input parameters and the results of the valuation. Functions Used. oX_Asian_Curran. Jul 08, 2015 · Curran, Mike, Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price (1994). Management Science, Vol. 40, December 1994.Cited by: 243.