FinancialDerivative[]

Here an Asian call option is evaluated.
The pricing methodology is MonteCarlo in this case.
Exact value is 2.3682854518288..., obtained from convolution algorithm.

One can specify the pricing methodology; the binomial tree method is also available.

crr_pricingfnc_1.gif

crr_pricingfnc_2.gif

Spikey Created with Wolfram Mathematica 8.0