5.71 option_asian_vorst90

Function File: value = option_asian_vorst90 (CallPutFlag, S, X, T, r, sigma, divrate)

Compute the prices of european type asian continously geometric average price call or put options according to Kemna and Vorst (1990) valuation formula. Convert all input parameter into continuously compounded values with act/365 day count convention. The implementation is based on following literature:

• "Complete Guide to Option Pricing Formulas", Espen Gaarder Haug, 2nd Edition, page 183ff.

Variables:

• CallPutFlag: Call: "1", Put: "0"
• S: stock price at time 0
• X: strike price
• T: time to maturity in days
• r: annual risk-free interest rate (continuous, act/365)
• sigma: annualized implied volatility (continuous, act/365)
• divrate: dividend rate p.a. (continuous, act/365)

See also: option_bs, option_asian_levy.