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David Lee deposited Pricing Asian Option on a Basket of Averages in the group
Public 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.