Fairmat Example

"Asian" options are nonstandard derivatives whose value depends on an average over time of the values of the underlying security (i.e. a stock index).

When an assessment is done at the level of the strike price, we talk about "average strike options". Alternatively, when the evaluation is done at a term with which we compare the strike, this is the case of "average rate options".

Asian options are associated with a number of additional clauses that determine some instrumental aspects such as media type, if the average is weighted or not, if detection is continuous or discrete.

In this tutorial we show a swap in which the payment of one of the parties contains an asian "average rate option" on FTSE MIB stock index.

Attachments

FTSE_tradeDate FTSE_tradeDate_noData FTSE_19sept2012 FTSE_19sept2012_noData