An Asian option in which the average of underlying prices, interest rates, indices, etc, is calculated at discrete times over the course of its lifespan. The payoff of this option depends on a discrete average of the underlying asset price.

This is in contrast to a continuous Asian option where all of the underlying’s prices on the time line (lifespan) are considered in the calculation of its average. When the initial underlying asset’s price is not taken into account in the calculation of the average, the option is known as a forward-starting Asian option.