Asian Option Pricing Based on the Standardized Logarithm of Geometric Average

An Asian option (or average value option) is a special type of option contractý. ýIts payoff is determined by the average underlying price over some pre-set period of time. ýAsian option is hard to price analytically and numericallyý. ýThere is no exact solution for these options in the Black-Scholes environmentý. Lower and upper bounds formula for these options have been derived by Rogers and Shi(1995). This difference between the upper and lower bound is independent of the exercise price. In this paper we develop lower and upper bounds in which the difference between lower and upper bounds depends on the exercise price.