BS_Asian_geom: Block Scholes for Geometric Asian Call Option

In VarRedOpt: A Framework for Variance Reduction

Description

Function to calculate expected value of Geometric Asian Call Option via Block Scholes formula.

Usage

BS_Asian_geom(K = 100, TimeToMat, d, ti, r = 0.05, sigma = 0.1, S0 = 100, ...)

Arguments

K	Strike price.
TimeToMat	Time to maturity.
d	Dimension of input z matrix.
ti	Vector of control points.
r	Riskfree rate
sigma	Yearly volatility.
S0	Stock price at start.
...	ellipsis parameter. different parameters can be passed depending on the problem.

Value

Expected value of Geometric Average Asian Call Option, vector of control points, interest rate and strike price as a list.

Examples

 sim.outer(n=1e3, d=3, q.outer = myq_asian, K=100, ti=(1:3/12), r=0.03, sigma=0.3, S0=100)

VarRedOpt documentation built on Dec. 8, 2020, 5:07 p.m.