AsianOption | R Documentation |

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.

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

`averageType` |
Specifiy averaging type, either “geometric” or “arithmetic” |

`type` |
A string with one of the values |

`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 |

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.

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 |

The interface might change in future release as `QuantLib`

stabilises its own API.

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

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

.

```
# 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)
```

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