tf_quant_finance.black_scholes.AveragingType

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Last updated: 2023-03-16.

tf_quant_finance.black_scholes.AveragingType#

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Averaging types for asian options.

  • GEOMETRIC: C = ( \prod S(t_i) ) ^ {\frac{1}{n}}

  • ARITHMETIC: C = \frac{1}{n} \sum S(t_i)

Class Variables#

  • ARITHMETIC

  • GEOMETRIC

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