BS_Asian_geom {VarRedOpt}

Block Scholes for Geometric Asian Call Option

Description

Function to calculate expected value of Geometric Asian Call Option via Block Scholes formula.

Usage

BS_Asian_geom(K = 100, TimeToMat, d, ti, r = 0.05, sigma = 0.1, S0 = 100, ...)

Arguments

K

Strike price.

TimeToMat

Time to maturity.

d

Dimension of input z matrix.

ti

Vector of control points.

r

Riskfree rate

sigma

Yearly volatility.

S0

Stock price at start.

...

ellipsis parameter. different parameters can be passed depending on the problem.

Value

Expected value of Geometric Average Asian Call Option, vector of control points, interest rate and strike price as a list.

Examples

 sim.outer(n=1e3, d=3, q.outer = myq_asian, K=100, ti=(1:3/12), r=0.03, sigma=0.3, S0=100)