VarRedOpt (version 0.1.0)

myq_asian: Block Scholes for Geometric Asian Call Option

Description

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

Usage

myq_asian(zm, K = 100, ti = (1:3)/12, r = 0.05, sigma = 0.1, S0 = 100)

Arguments

zm

Input matrix with n row and d dimension.

K

Strike price.

ti

Vector of control points.

r

Riskfree rate.

sigma

Yearly volatility.

S0

Stock price at start.

Value

Returns 4 elements as a list. Asian Call Option Prices, Last Price of Asian Call Option, Expected Value of Asian Call Option, Product of the prices through time

Examples

# NOT RUN {
 sim.outer(n=1e3, d=3, q.outer = sim.IS,
q.is = myq_asian, K=100, ti=(1:3/12), r=0.03, sigma=0.3, S0=100)
# }