Description Usage Arguments Value See Also Examples

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

1 | ```
arithasianmc(s, k, v, r, tt, d, m, numsim=1000, printsds=FALSE)
``` |

`s` |
Price of underlying asset |

`k` |
Strike price of the option. In the case of average strike
options, |

`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 |

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

Other Asian: `arithavgpricecv`

,
`asiangeomavg`

, `geomasianmc`

1 2 | ```
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)
``` |

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