A note on pricing Asian derivatives with continuous geometric averaging
推导了基于连续几何平均的欧式亚式或有债权的定价公式，并给出了亚式看涨、看跌、二元期权及平均执行价二元期权的具体公式。
A general expression is derived for the price of a European-style Asian contingent claim in which the terminal value depends on both the underlying asset price and the continuous geometric average of the price of the underlying asset over the life of the claim. Specific formulas are derived for Asian call, put, and binary options, as well as for the average strike binary options. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 845–858, 1999