# arithavgpricecv: Control variate asian call price In derivmkts: Functions and R Code to Accompany Derivatives Markets

## Description

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

## Usage

 1 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.

Other Asian: arithasianmc, asiangeomavg, geomasianmc

## Examples

 1 2 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)

### Example output

price     beta
1.977917 1.011884

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