arithavgpricecv {derivmkts} | R Documentation |
Calculation of arithmetic-average Asian call price using control variate Monte Carlo valuation
arithavgpricecv(s, k, v, r, tt, d, m, numsim)
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 |
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.
Other Asian:
arithasianmc()
,
asiangeomavg
,
geomasianmc()
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)