Discrete Asian Call Option Price
Posted by Chun-Yuan ChiuThe Turnbull-Wakeman approximation for Asian options. The price of an Asian option depends on the average price of the underlying asset, whose density function is not known analytically under the Black-Scholes model, but fortunately its moments are. With the first few moments and the Edgeworth expansion one can obtain an approximation of the density function, and hence the option price.
• Dec 7, 2013 •