arithasianmc {derivmkts} | R Documentation |
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
arithasianmc(s, k, v, r, tt, d, m, numsim=1000, printsds=FALSE)
s |
Price of underlying asset |
k |
Strike price of the option. In the case of average strike
options, |
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 |
Array of arithmetic average option prices, along with vanilla European option prices implied by the the simulation. Optionally returns Monte Carlo standard deviations.
Other Asian:
arithavgpricecv()
,
asiangeomavg
,
geomasianmc()
s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3; numsim=1e04
arithasianmc(s, k, v, r, tt, d, m, numsim, printsds=TRUE)