Pricing and hedging quanto forward-starting floating-strike asian options

This article derives analytic approximation formulae for valuing various types of quanto forward-starting floating-strike Asian options, which are actively traded in over-the-counter markets. There are two advantages of using these analytic approximation formulae in this context. First, one can efficiently and accurately price quanto forward-starting floatingstrike Asian options compared with a Monte Carlo simulation approach. Second, one can easily derive the Greeks of quanto forward-starting floating-strike Asian options, which is especially important for practitioners who want to hedge their risks for issuing such options. The simulation results demonstrate that pricing errors using the analytic approximation formulae are less than 1%, compared with Monte Carlo simulation values. This study contributes to extant literature by providing an efficient and accurate method to price and hedge quanto forwardstarting floating-strike Asian options.