A Quick Algorithm for Pricing European Average Options
Stuart M. Turnbull, Lee Macdonald Wakeman
Journal of Financial and Quantitative Analysis · 1991 · Volume 26 · Issue 3
Abstract
An algorithm is described that prices European average options. The algorithm is tested against Monte Carlo estimates and is shown to be accurate. The speed of the algorithm is comparable to the Black-Scholes algorithm. A closed-form solution is derived for European geometric average options.
Enable JavaScript for citation tools and additional paper interactions.