Valuación de Opciones Asiáticas de Venta

Summary

Case study valuing geometric-average and arithmetic-average Asian put options and comparing both premiums with a European vanilla put under a lognormal model with constant cost of carry.

Context

The geometric-average put uses the Kemna–Vorst closed form, while the arithmetic-average put uses the Turnbull–Wakeman moment-matching approximation.

Main contributions

• Values a geometric-average Asian put through a closed-form expression.
• Approximates an arithmetic-average Asian put through moment matching.
• Compares both Asian-option premiums with an equivalent European vanilla put.