  This paper focuses on the pricing of continuous geometric Asian options
(GAOs) under a multifactor stochastic volatility model. The model considers
fast and slow mean reverting factors of volatility, where slow volatility
factor is approximated by a quadratic arc. The asymptotic expansion of the
price function is assumed, and the first order price approximation is derived
using the perturbation techniques for both floating and fixed strike GAOs. Much
simplified pricing formulae for the GAOs are obtained in this multifactor
stochastic volatility framework. The zeroth order term in the price
approximation is the modified Black-Scholes price for the GAOs. This modified
price is expressed in terms of the Black-Scholes price for the GAOs. The
accuracy of the approximate option pricing formulae is established, and the
model parameter is also estimated by capturing the volatility smiles.
