摘要：An Asian option is an example of exotic options. Its payoff dependson the average of the underlying asset prices. In this paper we focusedon analytical approximations and a study of sensitivities (Greeks) ofAsian options with Heston stochastic volatility model parameters, af-ter a brief introduction to the Black-Scholes theory. Only fixed strikeAsian options is considered. After a study of Greeks with Heston modelparameter, a comparison of some approximated Greeks against thoseobtained previously with different approaches is also done.This study is conducted to provide some knowledge and applicationabout the Greeks.
关键词：Asian options; Greeks; Approximations; Heston model; Parame-
ters
