# AsianOption: Asian Option evaluation using Closed-Form solution In RQuantLib: R Interface to the 'QuantLib' Library

 AsianOption R Documentation

## Asian Option evaluation using Closed-Form solution

### Description

The `AsianOption` function evaluates an Asian-style option on a common stock using an analytic solution for continuous geometric average price. The option value, the common first derivatives ("Greeks") as well as the calling parameters are returned.

### Usage

``````## Default S3 method:
AsianOption(averageType, type, underlying, strike,
dividendYield, riskFreeRate, maturity,
volatility, first=0, length=11.0/12.0, fixings=26)
``````

### Arguments

 `averageType` Specifiy averaging type, either “geometric” or “arithmetic” `type` A string with one of the values `call` or `put` `underlying` Current price of the underlying stock `strike` Strike price of the option `dividendYield` Continuous dividend yield (as a fraction) of the stock `riskFreeRate` Risk-free rate `maturity` Time to maturity (in fractional years) `volatility` Volatility of the underlying stock `first` (Only for arithmetic averaging) Time step to first average, can be zero `length` (Only for arithmetic averaging) Total time length for averaging period `fixings` (Only for arithmetic averaging) Total number of averaging fixings

### Details

When "arithmetic" evaluation is used, only the NPV() is returned.

The well-known closed-form solution derived by Black, Scholes and Merton is used for valuation. Implied volatilities are calculated numerically.

Please see any decent Finance textbook for background reading, and the `QuantLib` documentation for details on the `QuantLib` implementation.

### Value

The `AsianOption` function returns an object of class `AsianOption` (which inherits from class `Option`). It contains a list with the following components:

 `value` Value of option `delta` Sensitivity of the option value for a change in the underlying `gamma` Sensitivity of the option delta for a change in the underlying `vega` Sensitivity of the option value for a change in the underlying's volatility `theta` Sensitivity of the option value for a change in t, the remaining time to maturity `rho` Sensitivity of the option value for a change in the risk-free interest rate `dividendRho` Sensitivity of the option value for a change in the dividend yield

### Note

The interface might change in future release as `QuantLib` stabilises its own API.

### Author(s)

Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib Group for `QuantLib`

### References

https://www.quantlib.org/ for details on `QuantLib`.

### Examples

``````# simple call with some explicit parameters, and slightly increased vol:
AsianOption("geometric", "put", underlying=80, strike=85, div=-0.03,
riskFree=0.05, maturity=0.25, vol=0.2)
``````

RQuantLib documentation built on May 2, 2023, 1:15 a.m.