Pricing asian options

This example specifically considers the pricing of arithmetic Asian options. Each device is dedicated to pricing an Asian option with a different set of parameters, demonstrating scalable parallel offload of many option price calculations. Setting and and then solving the two equations simultaneously for and we have that:. The full listing is below:. You can help correct errors and omissions. One obvious task is to determine how to incorporate the number of stock samples - and interval spacing - within the AsianOption hierarchy. If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form.
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Monte Carlo Black-Scholes Asian Options Pricing Design Example

Items in MacSphere are protected by copyright, with all rights reserved, unless otherwise indicated. For compiling the host application, the Linux package includes a Makefile and the Windows package includes a Microsoft Visual Studio project. MLV - Paris 12 from to for his advices on the Ruby interface. After that, three Monte Carlo methods are used to simulate Asian option prices: naive Monte Carlo, antithetic Monte Carlo and control variate. The simulation was performed with a different number of simulations and strike prices. Please note that corrections may take a couple of weeks to filter through the various RePEc services. The geometric Asian is similar.
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[] Pricing Asian options for NIG and VG Levy markets

Since there are many types of Asian option - arithmetic, geometric, continuous, discrete - we will once again make use of the inheritance hierarchy. A geometric average Asian option is easy to price because a closed-form solution is available. All Examples Functions. In the next section we match the first two moments of with the fist two moments of the log-normal distribution. However, later code will amend this, particularly as we can re-use the AsianOption objects in more sophisticated programs, where interest rates and volatility are subject to stochastic models.
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Thus we are really trying to encapsulate the term sheet of the option in this object, i. Finally we take the arithmetic mean of those values and use pointer dereferencing to call the operator for the PayOff object. It is also a const method as it does not modify anything. Thus we have the choice of creating a separate object to handle the path generation used by the Asian option or write it procedurally. The value of a call option at time zero is then given as. Under a Risk-Neutral probability , it writes: where and where are such that.
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