• David Lee deposited Pricing Asian Option on a Basket of Averages in the group Group logo of Public HumanitiesPublic Humanities on Humanities Commons 2 years, 4 months ago

    We present a model for pricing an exotic swap where one party receives a fixed amount and makes a series of variable payments at the end of each pre-defined calculation period. The variable payments can be modeled as Asian put option payoffs on the weighted sum of two respective commodity basket levels. Furthermore, each basket level consists of a weighted sum of the respective commodity prices.