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Turnbull and Wakeman Approximation (1991)

where

,

where

c = Price of European Call option.

p = Price of European put option.

S = Spot price of the underlying asset.

X = Strike price of option.

N = The cumulative normal distribution function.

T = Time to expiration

T2 = The remaining time to maturity.

Also,

 

See Also

oX_Asian_TW( ) Function

oX_Asian_TW_Imp( ) Function

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