Asian Options - Approximation

Calculates the Price, Delta and Gamma of an European Call or Put option using the Black-Scholes formula.

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`T` |
time to maturity (in years) |

`K` |
Strike Price |

`r` |
risk-free interest rate |

`sigma` |
yearly volatility |

`S0` |
Starting Stock Price |

Returns a vector containing the option price, Delta and Gamma

Wolfgang Hormann

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