Asian options are variants of European options with payoff depending on the average price of the underlying asset, making them less susceptible to last-minute volatility, manipulation, or illiquidity. Because of this, they are widely used in commodity, energy, and currency markets, for instance by airlines to hedge average jet fuel costs over a month.

We implement an analytic model for geometric Asian options pricing, a Monte-Carlo model for arithmetic Asian options pricing, and self-financing delta-hedging strategies for both. We also compare the performance of our models against real-world market data.