NAG Library Manual, Mark 30
Interfaces:  FL   CL   CPP   AD 

NAG CL Interface Introduction
Example description

nag_specfun_opt_asian_geom_price (s30sac) Example Program Results
Asian Option: Geometric Continuous Average-Rate

Asian Put :

  Spot          =  80.0000
  Volatility    =   0.2000
  Rate          =   0.0500
  Cost of carry =   0.0800

   Strike    Expiry    Option Price
  85.0000    0.2500      4.6922