arithavgpricecv: Control variate asian call price

In derivmkts: Functions and R Code to Accompany Derivatives Markets

Control variate asian call price

Description

Calculation of arithmetic-average Asian call price using control variate Monte Carlo valuation

Usage

arithavgpricecv(s, k, v, r, tt, d, m, numsim)

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

Value

Vector of the price of an arithmetic-average Asian call, computed using a control variate Monte Carlo calculation, along with the regression beta used for adjusting the price.

See Also

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

Examples

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

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