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An Asian option is an option whose payos depend on the average price of the un- derlying asset over a certain period of time (instead
An Asian option is an option whose payos depend on the average price of the un- derlying asset over a certain period of time (instead of the price at maturity in the case of standard options). Early exercise of the option is not allowed. For instance, consider the pay offof an Asian Call option at maturity (in three months) on a stock ABC that does not pay dividends :
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