This is a tool that calculates the call and put prices of an Asian option, using geometric averaging. In addition, it calculates the first averaging point, the number of averaging points or the time between the averaging points, depending on which of the other two have been inputted.

For these option price calculations, it is necessary to supply the following compulsory information:

• The stock price.
• The strike price, or exercise price, which is the price at which the underlying stock can be purchased or sold upon exercise of the option.
• The term in years of the option contract.
• The annualised, continuously compounded, risk-free interest rate. This is usually expressed in percentage terms (unless the formatting is explicitly set to express it as a decimal).
• The annualised, continuously compounded, dividend yield. This is usually expressed in percentage terms (unless the formatting is explicitly set to express it as a decimal).
• The volatility. This is usually expressed in percentage terms (unless the formatting is explicitly set to express it as a decimal).

In addition, it is necessary to input two of the following pieces of averaging information, with the third being calculated:

• The time between the averaging points.
• The number of averaging points.
• The first averaging point.

Associated tool link: http://www.coggit.com/tools/geometric_asian_option_pricing.html