. In this paper, arithmetic average Asian options are studied. It is observed that the Asian option is a special case of the option on a traded account. The price of the Asian option is characterized by a simple one-dimensional partial dierential equation which could be applied to both continuous and discrete average Asian option. The article also provides numerical implementation of the pricing equation. The implementation is fast and accurate even for low volatility and/or short maturity cases. Key words: Asian options, Options on a traded account, Brownian motion, xed strike, oating strike. 1 Introduction Asian options are securities with payo which depends on the average of the underlying stock price over certain time interval. Since no general analytical solution for the price of the Asian option is known, a variety of techniques have been developed to analyze arithmetic average Asian options. A number of approximations that produce closed form expressions have appeared, se...
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Jan Večeř (2001) studied this question.