RT Journal Article SR Electronic T1 Pricing Asian-Style Interest Rate Swaps JF The Journal of Derivatives FD Institutional Investor Journals SP 45 OP 55 DO 10.3905/jod.2002.319185 VO 9 IS 4 A1 Chuang-Chang Chang A1 San-Lin Chung YR 2002 UL https://pm-research.com/content/9/4/45.abstract AB Derivatives with “Asian”-style payoffs are increasingly common, but often challenging to value. An Asian-style swap involves the exchange of interest computed at the average value of a floating rate over the period between settlement dates against a fixed swap rate. In this article, Chang and Chung derive a closed-form valuation equation for Asian swaps under the extended Vasicek interest rate model. In comparing Asian against European swap values, they show that the shape of the initial term structure makes a big difference.