Monte Carlo pricing calculations for European Asian
options. arithasianmc and geomasianmc compute
Monte Carlo prices for the full range of average price and
average strike call and puts computes prices of a complete
assortment of Arithmetic Asian options (average price call and
put and average strike call and put)
Arithmetic average Asian option prices
Usage
arithasianmc(s, k, v, r, tt, d, m, numsim=1000, printsds=FALSE)
Value
Array of arithmetic average option prices, along with
vanilla European option prices implied by the the
simulation. Optionally returns Monte Carlo standard deviations.
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