I found this repository (options pricing in Python) where they adjust IV for Asian options and they use it under the regular BS76 model.

I could not find any proof of this result on the web, do you know any paper where a similar result is proved or do you have any idea from where to start?


Thank you


1 Answer 1


This is the Turnbull-Wakeman approximation for pricing continuous arithmetic average options adjusted for the case of option on futures. Please note that this approximation has some serious limitations and works well for low volatilities ($~20-30\%$) and short tenors (up to $2-3$ years).

  • $\begingroup$ thank you for pointing that out. $\endgroup$
    – ionpoint
    Jun 10 at 8:44

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