# geomasianmc: Geometric Asian option prices computed by Monte Carlo In derivmkts: Functions and R Code to Accompany Derivatives Markets

## Description

Geometric average Asian option prices

## Usage

 `1` ```geomasianmc(s, k, v, r, tt, d, m, numsim, 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 geometric average option prices, along with vanilla European option prices implied by the the simulation. Optionally returns Monte Carlo standard deviations. Note that exact solutions for these prices exist, the purpose is to see how the Monte Carlo prices behave.

Other Asian: `arithasianmc`, `arithavgpricecv`, `asiangeomavg`

## Examples

 ```1 2``` ```s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3; numsim=1e04 geomasianmc(s, k, v, r, tt, d, m, numsim, printsds=FALSE) ```

### Example output

```             CallMC CallExact     PutMC  PutExact
Avg Price  1.999544  1.938526 1.4715947 1.4784216
Avg Strike 1.251762  1.200118 0.8439474 0.8681701
Vanilla    2.908613  2.784737 1.9728496 1.9926836
```

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