Description Usage Arguments Details Examples
Returns the price of an asian option using a binomial tree approach
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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) |
Uses a forward tree to compute u and d. p is the risk-neutral probability
1 | asianOption(40, 39, 0.05, 0, 0.3, 3/12, call=FALSE, arithmetic=TRUE, price=TRUE, h=3)
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