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Turnbull and Wakeman

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FV
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Joined: December 25th, 2003, 1:42 am

Turnbull and Wakeman

July 27th, 2009, 9:31 am

Anybody have a copy of Turnball and Wakeman (1991) "A Quick Algorithm for Pricing European Average Options"or know a link to the correct formulae?
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Balmung
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Joined: June 1st, 2002, 2:09 pm

Turnbull and Wakeman

July 28th, 2009, 11:08 am

The formula is described in Espen Haugs famous Guide to Option Pricing Formulas.
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