View source: R/Asian.AppLord.R
AsianCall_AppLord | R Documentation |
The price of an arithmetic average Asian option is computed using the approximation method of Lord.
AsianCall_AppLord(T=1, d=12, K=100, r=0.05, sigma=0.1, S0=100, all=TRUE)
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AsianCall_AppLord()
uses a sophisticated approximation of Lord (2006).
returns the approximate price.
Kemal Dingec, Wolfgang Hormann
Lord, R., Partially Exact and Bounded Approximations for Arithmetic Asian Options, Journal of Computational Finance, Vol. 10, No. 2, pp. 1-52, 2006
OptionPricing-package
AsianCall_AppLord(T = 1, d = 12, K = 100, r = 0.05, sigma = 0.25, S0 = 100, all = TRUE)
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