A Quick Algorithm for Pricing European Average Options
提出一种定价欧式平均期权的快速算法，经蒙特卡洛验证准确，速度与布莱克-舒尔斯算法相当，并推导了欧式几何平均期权的闭式解。
An algorithm is described that prices European average options. The algorithm is tested against Monte Carlo estimates and is shown to be accurate. The speed of the algorithm is comparable to the Black-Scholes algorithm. A closed-form solution is derived for European geometric average options.