The effect on the Asian option price times between the averaging. Mark Ioffe

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5 866 U Naos Plaza u 566 Nw Yok NY 7 Pho: Fa: [email protected] ccog o Lv a ubull [] pc of sa Call quals: P C Lp π 7 Lk K u u 5 LK Lp KLp LK a kow pc of h call opo valu of a pu ca b fou fo h laoshp Pu Call pa: P P P P P C P C K K 8 h abov foulas allow us o calcula opo pcs fo h sc a couous cas opo wh ahc a goc avagg a ff s of avagg. s a apl w a h opos wh h paas gv []. h chos paas a: - al ass pc K- sk pc -sklss a of s.9 -v a sga-volal.3 bw avagg pos wk oh qua -oal avagg a. h calculao suls a show abl. abl. hc oc Call Pu Volal Call Pu Volal Couous a wk oh qua Paa Volal abl s calcula b foula: Volal s ca b s fo abl h pc of h opo os o p sogl o h avagg. Nvhlss pc occus. h pc s o so paaocal. I woul s ha a cas h ub of pos avagg volal shoul cas a h pc of h opo shoul gow. I fac ugg fo h aa of abl h oppos hg s u: h o pos h o avagg volal. h plaao ls h fac ha h avag ao pos a o 5

6 866 U Naos Plaza u 566 Nw Yok NY 7 Pho: Fa: [email protected] p. h a sogl cola wha las o h suls. Nvhlss v wh h u wo pos avagg sgfcal ucs h pc of h opo. Fo copaso w gv h valus of h pcs of valla Call a Pu wh h sa paas. Valla Call pc quals 6.97 Pu Rfc. [] Mchal Cua. Valug sa a Poolo Opos b Coog o h oc Ma Pc. Poolo gg. NOV [] Lvo a ubllua vag Illgc RskFbua 99. 6

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