  Taking advantage of the recent litterature on exact simulation algorithms
(Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the
expectation of certain fonctional integrals (Wagner, Beskos et al. and
Fearnhead et al.), we apply an exact simulation based technique for pricing
continuous arithmetic average Asian options in the Black and Scholes framework.
Unlike existing Monte Carlo methods, we are no longer prone to the
discretization bias resulting from the approximation of continuous time
processes through discrete sampling. Numerical results of simulation studies
are presented and variance reduction problems are considered.
