Although　Asian　options　possess　the　advantages　of　being　cheaper　and　more　stable　than　European　options,　the　Chinese　financial　market　rarely　contains　any　type　of　Asian　options.　Hence,　this　research　aims　to　evaluate　the　performance　of　Asian　options　and　investigate　the　prospect　of　applying　the　options　market　in　China.　The　Monte　Carlo　simulations　and　sensitivity　tests　are　carried　out　for　Asian　and　European　options　pricing　by　the　Black-Scholes　model　based　on　three　different　underlying　assets:　SH600251,　DCE　A,　and　DCE　J.　According　to　the　simulations,　the　premium　of　Asian　options　is　lower　than　the　premium　of　European　options.　Moreover,　the　sensitivity　test　demonstrates　that　Asian　options　seem　to　be　less　sensitive　to　the　option　price　because　the　return　is　determined　by　the　average　price　of　a　set　of　underlying　prices　over　a　preset　period.　Therefore,　Asian　options　have　good　development　prospects　in　China,　despite　the　premium　of　Asian　options　is　slower　to　respond　to　changes　in　the　underlying　assets.　These　results　offer　a　guideline　for　the　implementation　of　Asian　options　in　Chinese　markets.　©　2021　IEEE.