  Asian option, as one of the path-dependent exotic options, is widely traded
in the energy market, either for speculation or hedging. However, it is hard to
price, especially the one with the arithmetic average price. The traditional
trading procedure is either too restrictive by assuming the distribution of the
underlying asset or less rigorous by using the approximation. It is attractive
to infer the Asian option price with few assumptions of the underlying asset
distribution and adopt to the historical data with a nonparametric method. In
this paper, we present a novel approach to price the Asian option from an
imprecise statistical aspect. Nonparametric Predictive Inference (NPI) is
applied to infer the average value of the future underlying asset price, which
attempts to make the prediction reflecting more uncertainty because of the
limited information. A rational pairwise trading criterion is also proposed in
this paper for the Asian options comparison, as a risk measure. The NPI method
for the Asian option is illustrated in several examples by using the simulation
techniques or the empirical data from the energy market.
