Closed form pricing method for Asian options

For that reason the payoff must be according to the historical data. Comparing to European options Asian option does not have closed form pricing method to arithmetic average like a Black-Scholes, because of lognormally distribution of assets collapsed. However, in 1990 Kemna and Vorst introduced closed form pricing method for geometrical averaging options by altering volatility and cost of carry term. Geometric average can be priced by closed form method because of the underling prices are lognormally distributed.