The price of an arithmetic average Asian option is computed using the approximation method of Lord.
AsianCall_AppLord(T=1, d=12, K=100, r=0.05, sigma=0.1, S0=100, all=TRUE)
returns the approximate price.
T
time to maturity (in years)
d
number of controll points
K
strike price
r
risk free interest rate
sigma
volatility (yearly)
S0
starting stockprice
all
TRUE
means that the full Asian Call option price is approximated
Kemal Dingec, Wolfgang Hormann
AsianCall_AppLord()
uses a sophisticated approximation of Lord (2006).
Lord, R., Partially Exact and Bounded Approximations for Arithmetic Asian Options, Journal of Computational Finance, Vol. 10, No. 2, pp. 1-52, 2006
OptionPricing-package
AsianCall_AppLord(T = 1, d = 12, K = 100, r = 0.05, sigma = 0.25, S0 = 100, all = TRUE)
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