Equity Asian Option Bs
financepy.models.equity_asian_option_bs
Functions
value_curran
value_curran(t_avg, t_exp, k, num_obs_per_year, opt_type_value, stock_price, r, q, model, accrued_average)
Valuation of an Asian option using the result by Vorst.
value_geometric
value_geometric(t_avg, t_exp, k, num_obs_per_year, opt_type_value, stock_price, r, q, model, accrued_average)
This option valuation is based on paper by Kemna and Vorst 1990. It
calculates the Geometric Asian option price which is a lower bound on
the Arithmetic option price. This should not be used as a valuation
model for the Arithmetic Average option but can be used as a control
variate for other approaches.
value_turnbull_wakeman
value_turnbull_wakeman(t_avg, t_exp, k, num_obs_per_year, opt_type_value, stock_price, r, q, model, accrued_average)
Asian option valuation based on paper by Turnbull and Wakeman 1991
which uses the edgeworth expansion to find the first two moments of the
arithmetic average.
Generated automatically from the FinancePy source code.
Do not edit this file manually.