Description Usage Arguments Details Value Author(s) References See Also Examples
View source: R/Asian.AppLord.R
The price of an arithmetic average Asian option is computed using the approximation method of Lord.
1  AsianCall_AppLord(T=1, d=12, K=100, r=0.05, sigma=0.1, S0=100, all=TRUE)

T 

d 

K 

r 

sigma 

S0 

all 

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. 152, 2006
1  AsianCall_AppLord(T = 1, d = 12, K = 100, r = 0.05, sigma = 0.25, S0 = 100, all = TRUE)

[1] 7.312461
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