arithavgpricecv {derivmkts}R Documentation

Control variate asian call price

Description

Calculation of arithmetic-average Asian call price using control variate Monte Carlo valuation

Usage

arithavgpricecv(s, k, v, r, tt, d, m, numsim)

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

Value

Vector of the price of an arithmetic-average Asian call, computed using a control variate Monte Carlo calculation, along with the regression beta used for adjusting the price.

See Also

Other Asian: arithasianmc, asiangeomavg, geomasianmc

Examples

s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3; numsim=1e04
arithavgpricecv(s, k, v, r, tt, d, m, numsim)

[Package derivmkts version 0.2.4 Index]