Discrete Asian Call Option Price

Posted by Chun-Yuan Chiu  •  Szu-Yu (Gary) Pai  •  Filed under Derivatives Pricing

Discrete Asian Call Option Price

Input:
Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Number of partitions
Number of paths
Output:
Call value

The calculation is based on Monte Carlo method with control variates.

Tagged: Monte Carlo, Exotic Option, Control Variates

 •  Jan 18, 2012  • 

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