Diego,

You will find almost everything you need in the pages of any decent
quantitative finance textbook. My personal favourite is John Hull's
"Options, Futures & Other Derivatives". If you get the latest edition
the information that you're looking for should be in Ch. 22 p539-40.
Those two pages will tell you that "SA" is the average of the underlying
up until the valuation date, "S" is the current value of the underlying,
"Time" is the time already elapsed, "time" is the time remaining to
maturity for the option. Do some reading and you'll find that the
implementation that Wuertz & co. have created is pretty much the
standard used in the literature.

On Fri, 2010-03-12 at 18:49 -0500, Diego Jara wrote:

> Hi. Can someone help me understand better the inputs to the function
> TurnbullWakemanAsianApprox?
> In particular, it's not clear from the manual which is the difference
> between S and SA, and between Time and time.
> 
> Thank you.
> 



	[[alternative HTML version deleted]]

