/MA6628-assignment2

calculate Geometric Asian Call Option Price by BSM

Primary LanguagePython

MA6628-assignment2

This is an application of BSM evaluation to Geometric Asian Call(GAC) option price

for detailed description and inference of Geometric Asian Option, please refer to https://github.com/songqsh/MA6628v02/blob/master/pdf/L04supp01.pdf

the structure of code is as following:

  1. define a function to calculate the value of d1 which is a paramter of Black and Scholes model(BSM)
  2. define a function to calculate the call option value of BSM
  3. calculate the parameters of GAC such as sigma_hat and r_hat
  4. calculate the value of GAC by BSM evaluation

for detailed code and description, please refer to https://github.com/wallace2213/MA6628-assignment2/blob/master/Geometric%20Asian%20Call%20Option%20Price%20by%20BSM.py

result and output

GAC price = 2.7329867250697175