# 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.