Asian Options - Approximation

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Description

The price of an arithmetic average Asian option is computed using the approximation method of Lord.

Usage

1
AsianCall_AppLord(T=1, d=12, K=100, r=0.05, sigma=0.1, S0=100, all=TRUE)

Arguments

T

T time to maturity (in years)

d

d number of controll points

K

K strike price

r

r risk free interest rate

sigma

sigma volatility (yearly)

S0

S0 starting stockprice

all

all TRUE means that the full Asian Call option price is approximated

Details

AsianCall_AppLord() uses a sophisticated approximation of Lord (2006).

Value

returns the approximate price.

Author(s)

Kemal Dingec, Wolfgang Hormann

References

Lord, R., Partially Exact and Bounded Approximations for Arithmetic Asian Options, Journal of Computational Finance, Vol. 10, No. 2, pp. 1-52, 2006

See Also

OptionPricing-package

Examples

1
AsianCall_AppLord(T = 1, d = 12, K = 100, r = 0.05, sigma = 0.25, S0 = 100, all = TRUE)