Description Usage Arguments Value Examples
Function to calculate expected value of Geometric Asian Call Option via Block Scholes formula.
1 |
zm |
Input matrix with n row and d dimension. |
K |
Strike price. |
ti |
Vector of control points. |
r |
Riskfree rate. |
sigma |
Yearly volatility. |
S0 |
Stock price at start. |
Returns 4 elements as a list. Asian Call Option Prices, Last Price of Asian Call Option, Expected Value of Asian Call Option, Product of the prices through time
1 2 |
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