Published September 6, 2022
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Average Strike Option Pricing Model
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Description
This article examines the pricing model for Average Strike Option (AVR). For an AVR, the payoff at expiration is determined by an average price and an average strike of the underlying asset over some period prior to expiration.
Notes
reference: https://finpricing.com/lib/EqAsian.html
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AVSoption.pdf
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