AECO Option Pricing Model

AECO options are Asian style options whose underlying are natural gas futures prices.  This model prices a call or put on a commodity whose underlying price is based on a futures contract.  The buyer has the option, but not the obligation to receive the difference calculated as the average rate less the strike, in the case of a call, or the strike less the average rate, in the case of a put, as applied against a notional amount.  The average rate is the arithmetic average of the closing rates of the futures contract observed over a designated period of time.  The style of exercise is European, i.e., there is no early exercise feature.