asiangeomavg {derivmkts} | R Documentation |
Pricing functions for European Asian options based on
geometric averages. geomavgpricecall
,
geomavgpriceput
, geomavgstrikecall
and
geomavgstrikeput
compute analytical prices of geometric
Asian options using the modified Black-Scholes formula.
geomavgprice(s, k, v, r, tt, d, m, cont=FALSE) geomavgpricecall(s, k, v, r, tt, d, m, cont=FALSE) geomavgpriceput(s, k, v, r, tt, d, m, cont=FALSE) geomavgstrike(s, km, v, r, tt, d, m, cont=FALSE) geomavgstrikecall(s, km, v, r, tt, d, m, cont=FALSE) geomavgstrikeput(s, km, v, r, tt, d, m, cont=FALSE)
s |
Price of underlying asset |
k |
Strike price of the option. In the case of average strike
options, |
v |
Volatility of the underlygin asset price, defined as the annualized standard deviation of the continuously-compounded return |
r |
Annual continuously-compounded risk-free interest rate |
tt |
Time to maturity in years |
d |
Dividend yield, annualized, continuously-compounded |
m |
Number of prices in the average calculation |
cont |
Boolean which when TRUE denotes continuous averaging |
km |
The strike mutiplier, relative to the initial stock
price, for an average price payoff. If the initial stock price
is Payoff = max(ST - km/s*SAvg, 0) . |
Option prices as a vector
Other Asian: arithasianmc
,
arithavgpricecv
, geomasianmc
s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3; geomavgpricecall(s, k, v, r, tt, d, m) geomavgpricecall(s, 38:42, v, r, tt, d, m) geomavgpricecall(s, 38:42, v, r, tt, d, m, cont=TRUE)