Estimation of Ask and Bid Prices for Geometric Asian Options

Table 1

The bid-ask prices for geometric Asian options at different with .

Level		K	Call			Put
			ask	bid	spread	ask	bid	spread
0	100	90	10.752	10.752	0	0.048	0.048	0
		100	2.748	2.748	0	1.845	1.845	0
		110	0.178	0.178	0	9.077	9.077	0
0.02	100	90	10.864	10.641	0.223	0.050	0.045	0.005
		100	2.814	2.682	0.131	1.894	1.797	0.097
		110	0.186	0.170	0.016	9.183	8.971	0.212
0.4	100	90	13.031	8.575	4.456	0.129	0.016	0.113
		100	4.250	1.629	2.621	2.985	1.037	1.948
		110	0.420	0.066	0.354	11.224	7.009	4.216
0.9	100	90	15.984	6.068	9.916	0.372	0.003	0.369
		100	6.613	0.737	5.875	4.844	0.434	4.410
		110	1.045	0.016	1.029	13.924	4.669	9.256