arithasianmc: Asian Monte Carlo option pricing

In derivmkts: Functions and R Code to Accompany Derivatives Markets

Asian Monte Carlo option pricing

Description

Monte Carlo pricing calculations for European Asian options. arithasianmc and geomasianmc compute Monte Carlo prices for the full range of average price and average strike call and puts computes prices of a complete assortment of Arithmetic Asian options (average price call and put and average strike call and put)

Arithmetic average Asian option prices

Usage

arithasianmc(s, k, v, r, tt, d, m, numsim=1000, printsds=FALSE)

Arguments

s	Price of underlying asset
k	Strike price of the option. In the case of average strike options, k/s is the multiplier for the average
v	Volatility of the underlygin asset price, defined as the annualized standard deviation of the continuously-compounded return
r	Annual continuously-compounded risk-free interest rate
tt	Time to maturity in years
d	Dividend yield, annualized, continuously-compounded
m	Number of prices in the average calculation
numsim	Number of Monte Carlo iterations
printsds	Print standard deviation for the particular Monte Carlo calculation

Value

Array of arithmetic average option prices, along with vanilla European option prices implied by the the simulation. Optionally returns Monte Carlo standard deviations.

See Also

Other Asian: arithavgpricecv(), asiangeomavg, geomasianmc()

Examples

s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3; numsim=1e04
arithasianmc(s, k, v, r, tt, d, m, numsim, printsds=TRUE)

derivmkts documentation built on April 11, 2022, 5:10 p.m.