Hi All,

 

I am trying to price Average Price option using Levy approximation as given
by formula LevyAsianApproxOption() in package fExoticOptions

 

## Put option price

> LevyAsianApproxOption('p', S = 1120, SA = 1120, X = 1140, Time = 1, time =
1,r = .05, b = .01, sigma = .2)

. Option Price:  56.89417

 

This is very much different from value that I am getting from online java
based scripts or other excel based. Several of them gave a price of 49.04. 

 

There is a difference w.r.t call option price as well with same parameters

## call option price

> LevyAsianApproxOption('c', S = 1120, SA = 1120, X = 1140, Time = 1, time =
1,r = .05, b = .01, sigma = .2)

.. Option Price:  43.21426

  

The other calculators gave a value of 51.61. 

 

Now I am confused on which one to take. Could anyone explain why this
anomaly.

 

Many thanks for the input and guidance.

 

Best regards, 

 

S.N.V. Krishna



 


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