Option, is a right that gives the purchaser a contract to buy or sell a certain underlying asset at a certain price at a certain time in the future. Asian options are one of the representative products, and it is also the most active new type of option in the financial derivatives market today. However, the path dependence characteristics make the pricing model of Asian options show a relatively large difference compared with that of standard options, and the pricing problem is far more complicated than that of European options. In order to facilitate the research of more scholars, this paper summarizes the Asian Options. The first part of this paper introduces the definition and classifications of Asian options. The second part introduces several feasible methods for Asian option pricing in detail. In the third part, it is found that the Monte Carlo simulation method is a good approximation to the arithmetic average Asian option.
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