asianOption: Asian Option Price

In m4fe: Models for Financial Economics

Description

Returns the price of an asian option using a binomial tree approach

Usage

asianOption(S, K, r, delta, sigma, t = 1, call = TRUE, arithmetic = TRUE,
  price = TRUE, h = 10)

Arguments

S	the initial stock price
K	the strike price
r	the risk free (continuously compounded interest rate)
delta	the annual dividend rate
sigma	the volatility
t	the expiration time (default one year)
call	TRUE if option is a call, FALSE is option is a put
arithmetic	TRUE if arithmetic average is used, FALSE if geometric average is used
price	TRUE if average price is used, FALSE if average strike is used
h	the number of subdivisions between 0 and t (default 10)

Details

Uses a forward tree to compute u and d. p is the risk-neutral probability

Examples

asianOption(40, 39, 0.05, 0, 0.3, 3/12, call=FALSE, arithmetic=TRUE, price=TRUE, h=3)

m4fe documentation built on May 29, 2017, 9:40 p.m.