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.T T 0 S t dt, and short maturity asymptotics for outof-money (OTM) Asian options. Using call-put parity, the corresponding short maturity asymptotics for in-the-money (ITM) Asian options can be obtained as well. Finally, the short maturity asymptotics for at-the-money (ATM) Asian options has been derived too. The result in [47] covers in particular the Black-Scholes case, and the explicit formulas are derived for the short maturity asymptotics for the Black-Scholes case in [47].