function CallAsianOptionGeometricClosedForm(S,K,r,sigma,q,T,t) { sigmaA=sigma/Math.sqrt(3); b=0.5*(r-q-sigma*sigma/6); d1=(ln(S/K)+(b+0.5*sigmaA*sigmaA)*(T-t))/(sigmaA*Math.sqrt(T-t)); d2=(ln(S/K)+(b-0.5*sigmaA*sigmaA)*(T-t))/(sigmaA*Math.sqrt(T-t)); return S*Math.exp((b-r)*(T-t))*NCDF2(d1)-K*Math.exp(-r*(T-t))*NCDF2(d2); } function PutAsianOptionGeometricClosedForm(S,K,r,sigma,q,T,t) { sigmaA=sigma/Math.sqrt(3); b=0.5*(r-q-sigma*sigma/6); d1=(ln(S/K)+(b+0.5*sigmaA*sigmaA)*(T-t))/(sigmaA*Math.sqrt(T-t)); d2=(ln(S/K)+(b-0.5*sigmaA*sigmaA)*(T-t))/(sigmaA*Math.sqrt(T-t)); return K*Math.exp(-r*(T-t))*NCDF2(-d2)-S*Math.exp((b-r)*(T-t))*NCDF2(-d1); }
Tuesday, June 11, 2013
Asian Option Geometric Closed Form
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