Asian Exercise Terms

From Open Risk Manual

Definition

Asian Exercise Terms. Commitment to pay out on an option on the basis of a rolling average strike, which the other party may or may not choose to exercise against.

Definition of Asian Exercise Convention: Exercise convention whereby exercise tracks an underlying on a defined time period, anchored to a given time. The Asian Exercise Convention takes the European Date Exercise Convention but commits to a strike which is determined according to an average (or rolling average) value.

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