QFRM (version 1.0.1)

AsianBS: Asian option valuation via Black-Scholes (BS) model

Description

Price Asian option using BS model

Usage

AsianBS(o = OptPx(Opt(Style = "Asian")))

Arguments

o

An object of class OptPx

Value

A list of class AsianBS consisting of the original OptPx object and the option pricing parameters M1, M2, F0, and sigma as well as the computed option price PxBS.

Details

This pricing algorithm assumes average price is calculated continuously.

References

Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html pp.609-611.

Examples

(o = AsianBS())$PxBS #Price = ~4.973973,  using default values

 o = Opt(Style='Asian',S0=100,K=90,ttm=3)
 (o = AsianBS(OptPx(o,r=0.03,q=0,vol=0.3)))$PxBS

 o = Opt(Style='Asian',Right='P',S0=100,K=110,ttm=0.5)
 (o = AsianBS(OptPx(o,r=0.03,q=0.01,vol=0.3)))$PxBS

 #See J.C.Hull, OFOD'2014, 9-ed, ex.26.3, pp.610. The price is 5.62.
 o = Opt(Style='Asian',Right='Call',S0=50,K=50,ttm=1)
 (o = AsianBS(OptPx(o,r=0.1,q=0,vol=0.4)))$PxBS