An Asian option is an example of exotic options. Its payoﬀ depends on the average of the underlying asset prices. In this paper we focused on analytical approximations and a study of sensitivities (Greeks) of Asian options with Heston stochastic volatility model parameters, after a brief introduction to the Black-Scholes theory. Only ﬁxed strike Asian options is considered. After a study of Greeks with Heston model parameter, a comparison of some approximated Greeks against those obtained previously with diﬀerent approaches is also done. This study is conducted to provide some knowledge and application about the Greeks.
Keywords: Asian options; Greeks; Approximations; Heston model; Parameters