The Pricing of Asian Options in Uncertain Volatility Model

Figure 2

The 𝐻(0,𝑅) function of the arithmetic average floating strike Asian call option when 𝑟=0.10,  𝑇=1,  𝜎=0.5,  𝜎=1,  𝜎=0.4, and tolerance=10⁻⁴.