  We present a rigorous study of the short maturity asymptotics for Asian
options with continuous-time averaging, under the assumption that the
underlying asset follows the Constant Elasticity of Variance (CEV) model. We
present an analytical approximation for the Asian options prices which has the
appropriate short maturity asymptotics, and demonstrate good numerical
agreement of the asymptotic results with the results of Monte Carlo simulations
and benchmark test cases for option parameters relevant in practical
applications.
