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Levy' Approximation (1992)

Via put-call parity:

where

 

 

,

 

,

 

 

,

where

SA = Arithmetic average of the know asset price fixings.

S = Asset price.

X = Strike price of the option.

r = Risk-free interest rate.

b = Cost of carry rate.

T2 = Remaining time to maturity.

T = Original time to maturity.

= Volatility of the natural logarithms of return of the underlying asset.

 

See Also

oX_Asian_Levy( ) Function

oX_Asian_Levy_Imp( ) Function

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