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Arithmetic Asian Options: Exact, Levy, and Curran Approximations

Arithmetic Asian Options: Exact, Levy, and Curran Approximations: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given daily OHLCV data for SPY in /app/spy daily.csv . Your task is to calibrate a geometric Brownian motion (GBM) model to the historical…

The task

You are given daily OHLCV data for SPY in `/app/spy_daily.csv`. Your task is to calibrate a geometric Brownian motion (GBM) model to the historical price data, and then price arithmetic Asian options using three distinct methods:

Part of codeslord/skilltrainbench-public.