Description Usage Arguments Value See Also Examples

Pricing functions for European Asian options based on
geometric averages. `geomavgpricecall`

,
`geomavgpriceput`

, `geomavgstrikecall`

and
`geomavgstrikeput`

compute analytical prices of geometric
Asian options using the modified Black-Scholes formula.

1 2 3 4 5 6 | ```
geomavgprice(s, k, v, r, tt, d, m, cont=FALSE)
geomavgpricecall(s, k, v, r, tt, d, m, cont=FALSE)
geomavgpriceput(s, k, v, r, tt, d, m, cont=FALSE)
geomavgstrike(s, km, v, r, tt, d, m, cont=FALSE)
geomavgstrikecall(s, km, v, r, tt, d, m, cont=FALSE)
geomavgstrikeput(s, km, v, r, tt, d, m, cont=FALSE)
``` |

`s` |
Price of underlying asset |

`k` |
Strike price of the option. In the case of average strike
options, |

`v` |
Volatility of the underlygin asset price, defined as the annualized standard deviation of the continuously-compounded return |

`r` |
Annual continuously-compounded risk-free interest rate |

`tt` |
Time to maturity in years |

`d` |
Dividend yield, annualized, continuously-compounded |

`m` |
Number of prices in the average calculation |

`cont` |
Boolean which when TRUE denotes continuous averaging |

`km` |
The strike mutiplier, relative to the initial stock
price, for an average price payoff. If the initial stock price
is
. |

Option prices as a vector

Other Asian: `arithasianmc`

,
`arithavgpricecv`

, `geomasianmc`

1 2 3 4 | ```
s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3;
geomavgpricecall(s, k, v, r, tt, d, m)
geomavgpricecall(s, 38:42, v, r, tt, d, m)
geomavgpricecall(s, 38:42, v, r, tt, d, m, cont=TRUE)
``` |

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