myq_asian: Block Scholes for Geometric Asian Call Option

In VarRedOpt: A Framework for Variance Reduction

Description

Function to calculate expected value of Geometric Asian Call Option via Block Scholes formula.

Usage

myq_asian(zm, K = 100, ti = (1:3)/12, r = 0.05, sigma = 0.1, S0 = 100)

Arguments

zm	Input matrix with n row and d dimension.
K	Strike price.
ti	Vector of control points.
r	Riskfree rate.
sigma	Yearly volatility.
S0	Stock price at start.

Value

Returns 4 elements as a list. Asian Call Option Prices, Last Price of Asian Call Option, Expected Value of Asian Call Option, Product of the prices through time

Examples

 sim.outer(n=1e3, d=3, q.outer = sim.IS,
q.is = myq_asian, K=100, ti=(1:3/12), r=0.03, sigma=0.3, S0=100)

VarRedOpt documentation built on Dec. 8, 2020, 5:07 p.m.