geomasianmc: Geometric Asian option prices computed by Monte Carlo

In derivmkts: Functions and R Code to Accompany Derivatives Markets

Geometric Asian option prices computed by Monte Carlo

Description

Geometric average Asian option prices

Usage

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.

See Also

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

Examples

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)

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