  In this paper we generalize and analyze the model for pricing American-style
Asian options due to (Hansen and Jorgensen 2000) by including a continuous
dividend rate $q$ and a general method of averaging of the floating strike. We
focus on the qualitative and quantitative analysis of the early exercise
boundary. The first order Taylor series expansion of the early exercise
boundary close to expiry is constructed. We furthermore propose an efficient
numerical algorithm for determining the early exercise boundary position based
on the front fixing method. Construction of the algorithm is based on a
solution to a nonlocal parabolic partial differential equation for the
transformed variable representing the synthesized portfolio. Various numerical
results and comparisons of our numerical method and the method developed by
(Dai and Kwok 2006) are presented.
