AsianBS {QFRM} | R Documentation |
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 |
Details
This pricing algorithm assumes average price is calculated continuously.
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
.
Author(s)
Xinnan Lu, Department of Statistics, Rice University, Spring 2015
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
[Package QFRM version 1.0.1 Index]