Asian Option

Last updated 9 November 2026

Function reference › Equity Derivatives › Asian Options

4 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_EQD_Asian_Greeks

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate.

GIA_EQD_Asian_Greeks(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, FixingDates, FixingRates, VDate, Comp, Days, GreekType)

Returns: Theoretical value (TV) of an equity Asian option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`FixingDates`	Required	The array of dates in which the rates for calculating the average rate are set.
`FixingRates`	Required	The array of rates for calculating the average rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_Asian_GreeksFromCurve

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate curve.

GIA_EQD_Asian_GreeksFromCurve(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, FixingDates, FixingRates, VDate, Comp, Days, Interp, GreekType)

Returns: Theoretical value (TV) of an equity Asian option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`FixingDates`	Required	The array of dates in which the rates for calculating the average rate are set.
`FixingRates`	Required	The array of rates for calculating the average rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_Asian_TV

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate.

GIA_EQD_Asian_TV(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, FixingDates, FixingRates, VDate, Comp, Days)

Returns: Theoretical value (TV) of an equity Asian option

Argument	Use	Description
`OptionType`	Required	The option's type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The FX spot rate.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate of the counter currency.
`FixingDates`	Required	The array of dates in which the rates for calculating the average rate are set.
`FixingRates`	Required	The array of rates for calculating the average rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the base currency interest rate (act/360, act/365, act/act, 30E/360, 30I/360)

GIA_EQD_Asian_TVFromCurve

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate curve.

GIA_EQD_Asian_TVFromCurve(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, FixingDates, FixingRates, VDate, Comp, Days, Interp)

Returns: Theoretical value (TV) of an equity Asian option

Argument	Use	Description
`OptionType`	Required	The option's type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The FX spot rate.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`FixingDates`	Required	The array of dates in which the rates for calculating the average rate are set.
`FixingRates`	Required	The array of rates for calculating the average rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the base currency interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)