AsianCall_AppLord: Asian Options - Approximation

Description Usage Arguments Details Value Author(s) References See Also Examples

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)


Search within the OptionPricing package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.