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Discrete Geometric Asian Call Option Price

Posted by Chun-Yuan Chiu  •  Filed under Derivatives Pricing

Discrete Geometric Asian Call Option Price

Input:
Initial underlying asset price
Strike price
Time to maturity		Years
Risk free interest rate (annulized)
Volatility (annulized)
Number of partition
Output:
Call value

The calculation is based on Black-Sholes model.

Tagged: Black-Scholes Calculator, Geometric Asian Option

 •  Feb 18, 2013  •