Floating-Strike Asian Options

Floating-strike Asian options are derivatives where the strike price is not fixed at the start, but is instead determined by the average price of the underlying asset over the contract period. The payoff is the difference between the price at expiration and this floating average strike.

This structure is often used to hedge against the average cost of acquisition or sale of an asset over time. In the crypto sector, this is highly beneficial for miners or large holders who need to sell assets periodically and want to protect against the risk of the average price dropping.

Because the strike is tied to the average, these options naturally track the performance of the asset relative to its own recent history. They are less sensitive to terminal price volatility and more focused on the trend of the asset.

The pricing of these instruments requires modeling the expected average, which is a core component of quantitative finance for path-dependent assets.