The AverageStrike function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European arithmetic or geometric average strike option using either the Levy model for arithmetic or the Rubinstein model for geometric average price options. See Asian Options for a further explanation.
AverageStrike 
(OptionType, AverageType, ModelStatistic, Asset, TimeExpire, Volatility, InterestRate, YieldRate, ObserveFreq, MarketPrice, TimeFormat, InterestType, YieldType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
AverageType 
Alphanumeric value indicating the Average type or model: •Geometric = 1 or "g" (case insensitive) •Arithmetic = 2 or "a" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •ImpliedVol = 5 •Vega = 6 •Rho = 7 •Psi = 8 •Lambda = 9 •StrikeSensitivity = 11 •ImpliedStrike = 13 
Asset 
The price of the underlying asset. Must be > 0. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0. 
Volatility 
Annualized volatility of the underlying security. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
YieldRate 
Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument. 
Optional. The frequency of the observations while collecting the AveragePrice. Note: only applied to the Geometric Average. If omitted, ContinuousSample is used as the default. 

MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 

Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Example
Calculate all of functions for an average strike call option whose asset price 0.75 years from expiration is $25, the riskfree interest rate is 5.0% per annum, the yield rate is 3.0% per annum, and the annual volatility is 20%. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Geometric 
Arithmetic 
OptionType 
Call 

1 
Theoretical: 
1.096360 
1.064409 
Asset 
25 

2 
Delta: 
0.043854 
0.042576 
InterestRate 
5% 

3 
Gamma: 
0.000000 
0.000000 
YieldRate 
3% 

4 
Theta: 
0.002131 
0.002015 
TimeExpire 
0.75 

5 
Implied Vol.: 
0.181187 
0.186707 
Volatility 
20% 

6 
Vega: 
0.051359 
0.066625 
TimeFormat 
Years 

7 
Rho: 
0.044804 
0.043088 
MarketPrice 
1 

8 
Psi: 
0.051558 
0.049659 



9 
Lambda: 
1.000000 
1.000000 