# arithasianmc: Asian Monte Carlo option pricing In derivmkts: Functions and R Code to Accompany Derivatives Markets

## 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

 `1` ```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.

Other Asian: `arithavgpricecv`, `asiangeomavg`, `geomasianmc`

## Examples

 ```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) ```

### Example output

```               Call      Put  sd Call   sd Put
Avg Price  1.935413 1.477616 2.836515 2.172118
Avg Strike 1.131674 0.916262 1.703272 1.329638
Vanilla    2.710224 2.037015 4.042084 2.964055
```

derivmkts documentation built on June 6, 2019, 5:03 p.m.