AsianBS: Asian option valuation via Black-Scholes (BS) model
In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description Usage Arguments Details Value Author(s) References Examples

Price Asian option using BS model

1	AsianBS(o = OptPx(Opt(Style = "Asian")))

`o`	An object of class `OptPx`

This pricing algorithm assumes average price is calculated continuously.

A list of class AsianBS consisting of the original OptPx object and the option pricing parameters M1, M2, F0, and sigma as well as the computed option price PxBS.

Xinnan Lu, Department of Statistics, Rice University, Spring 2015

Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html pp.609-611.

(o = AsianBS())$PxBS #Price = ~4.973973,  using default values

 o = Opt(Style='Asian',S0=100,K=90,ttm=3)
 (o = AsianBS(OptPx(o,r=0.03,q=0,vol=0.3)))$PxBS

 o = Opt(Style='Asian',Right='P',S0=100,K=110,ttm=0.5)
 (o = AsianBS(OptPx(o,r=0.03,q=0.01,vol=0.3)))$PxBS

 #See J.C.Hull, OFOD'2014, 9-ed, ex.26.3, pp.610. The price is 5.62.
 o = Opt(Style='Asian',Right='Call',S0=50,K=50,ttm=1)
 (o = AsianBS(OptPx(o,r=0.1,q=0,vol=0.4)))$PxBS