derivatives_asian-option
Price Asian options using geometric closed-form or Turnbull-Wakeman arithmetic approximation. Input spot, strike, time, rate, volatility, and averaging type to compute option price.
Instructions
Asian option pricing: geometric closed-form or arithmetic approximation.
Use when pricing Asian (average-price) options. Provide spot, strike, time, rate, volatility, and averaging type. Returns: option price via geometric closed-form or Turnbull-Wakeman approximation.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| K | Yes | Strike price | |
| S | Yes | Spot price of the underlying asset | |
| T | Yes | Time to expiration in years | |
| q | No | Continuous dividend yield | |
| r | No | Risk-free interest rate (annualized) | |
| type | No | Option type | call |
| sigma | Yes | Volatility (annualized) | |
| averaging | No | Averaging method for the Asian option | geometric |
| observations | No | Number of averaging observations |