A New Asian Basket Spread Option Approximation

Around 10 years ago, while reading the excellent paper of Etore and Gobet on stochastic Taylor expansions for the pricing of vanilla options with discrete (cash) dividends , I had the idea of a small improvement, by using a more precise proxy for the Taylor expansion. &#xA; More recently, I applied the idea to approximate arithmetic Asian options prices by using the geometric Asian option price as…