Description Usage Arguments Details Value Author(s) References Examples
Price Asian option using BS model
1 |
o |
An object of class |
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.
1 2 3 4 5 6 7 8 9 10 11 | (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
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