There is a newer version of the record available.

Published September 6, 2022 | Version v1

Average Strike Option Pricing Model

Authors/Creators

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

Files

Files (141.8 kB)

Name Size Download all
md5:79c71e277f759c2805d0a9da77db59b6
141.8 kB Download