Geometric fixed-strike Asian call options pricing function

This function calculates the price of geometric Asian call options based on the closed-form solution of Kim, B. and Wee, I.S. (2014).

This function calculates the price of geometric Asian call options based on the closed-form solution of Kim, B. and Wee, I.S. (2014).

Function's inputs:

S0: scalar, initial price of the underlying stock;

v0: scalar, initial volatility of the stock;

theta: scalar, long run average of volatility;

sigma: scalar, the volatility of volatility;

kappa: scalar, rate of mean reversion;

rho: scalar, correlation coefficient of two brownian motions;

r: scalar, risk-free interest rate;

n: scalar, number of terms in series expansions of H and H_tilde;

T: scalar, time to maturity;

K: scalar, strike price.

Based on several testings, the price converges to be consistent as . The excution speed is fast.