An algorithm is described that prices European average options. The algorithm is tested against Monte Carlo estimates and is shown to be accurate. The speed of the algorithm is comparable to the Black-Scholes algorithm. A closed-form solution is derived for European geometric average options.
No takes yet. Share an insight, caveat, or question.
Turnbull et al. (1991) studied this question.
Synapse has enriched one closely related paper. Consider it for comparative context: