Alghalith, Moawia (2019): The distribution of the average of lognormal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closedform Formula.
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Abstract
We overcome a longstanding obstacle in statistics. In doing so, we show that the distribution of the sum of lognormal variables is lognormal. Furthermore, we offer a breakthrough result in finance. In doing so, we introduce a simple, exact and explicit formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical BlackScholes formula.
Item Type:  MPRA Paper 

Original Title:  The distribution of the average of lognormal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closedform Formula 
Language:  English 
Keywords:  Arithmetic Asian option pricing, the arithmetic average of the price, average of lognormal, the BlackScholes formula. 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C00  General C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General G  Financial Economics > G0  General 
Item ID:  101546 
Depositing User:  Moawia Alghalith 
Date Deposited:  07 Jul 2020 07:15 
Last Modified:  07 Jul 2020 07:15 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/101546 
Available Versions of this Item

The distribution of the average of lognormal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closedform Formula. (deposited 10 Dec 2019 14:22)

The distribution of the average of lognormal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closedform Formula. (deposited 18 Mar 2020 07:47)
 The distribution of the average of lognormal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closedform Formula. (deposited 07 Jul 2020 07:15) [Currently Displayed]

The distribution of the average of lognormal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closedform Formula. (deposited 18 Mar 2020 07:47)