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Curran's Approximation (1992)

where

where

S = Initial asset price.

X = Strike price of Option.

r = Risk-free rate

b = Cost of carry

T = Time to expiration in years

t1 = Time to fist averaging point

= Time between averaging points.

n = Number of averaging points.

= Volatility of asset.

N(x) = The cumulative normal distribution function.

See Also

oX_Asian_Curran( ) Function

oX_Asian_Curran_Imp( ) Function

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