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Asian options monte carlo

  • 03.10.2018
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Asian option pricing with C via Monte Carlo Methods

Kemna and Vorst (1990) is a classic in Monte Carlo method for Asian option. Geometric mean, which can be analytically computed, is used as a control variate to reduce MC noise.

Asian Options II: Monte Carlo Quantopia

Monte Carlo BlackScholes Asian Options Pricing Design Example The following example demonstrates an Open Computing Language (OpenCL TM ) implementation of an Asian option pricing algorithm. An Asian option is a financial instruction whose price is path dependent.

Pricing Asian Options using Monte Carlo Methods

In this report, Monte Carlo simulation is introduced to value an Asian relative option, which performs on two or more underlying assets, and the payoff is determined by the return of one or more assets relative the return of some other assets.

Category: Asian
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