AsianCall_AppLord

The price of an arithmetic average Asian option is computed using
the approximation method of Lord.

Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.

Wolfgang Hormann

OptionPricing

Option Pricing with Efficient Simulation Algorithms

Kemal Dingec

AsianCall_AppLord function

<dl> <dt>T</dt>
<dd><code>T</code> time to maturity (in years)</dd> <dt>d</dt>
<dd><code>d</code> number of controll points</dd> <dt>K</dt>
<dd><code>K</code> strike price</dd> <dt>r</dt>
<dd><code>r</code> risk free interest rate</dd> <dt>sigma</dt>
<dd><code>sigma</code> volatility (yearly)</dd> <dt>S0</dt>
<dd><code>S0</code> starting stockprice</dd> <dt>all</dt>
<dd><code>all</code> <code>TRUE</code> means that the full Asian Call option price is approximated</dd></dl>

Arguments

Author

Asian Options - Approximation — AsianCall_AppLord

<dl>

 <dt>T</dt>
<dd><code>T</code> time to maturity (in years)</dd>

 <dt>d</dt>
<dd><code>d</code> number of controll points</dd>

 <dt>K</dt>
<dd><code>K</code> strike price</dd>

 <dt>r</dt>
<dd><code>r</code> risk free interest rate</dd>

 <dt>sigma</dt>
<dd><code>sigma</code> volatility (yearly)</dd>

 <dt>S0</dt>
<dd><code>S0</code> starting stockprice</dd>

 <dt>all</dt>
<dd><code>all</code> <code>TRUE</code> means that the full Asian Call option price is approximated</dd>

</dl>

AsianCall_AppLord: Asian Options - Approximation

Description

Usage

Value

Arguments

Author

Details

References

See Also

Examples