geomasianmc {derivmkts} | R Documentation |
Geometric average Asian option prices
geomasianmc(s, k, v, r, tt, d, m, numsim, 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 geometric average option prices, along with vanilla European option prices implied by the the simulation. Optionally returns Monte Carlo standard deviations. Note that exact solutions for these prices exist, the purpose is to see how the Monte Carlo prices behave.
Other Asian:
arithasianmc()
,
arithavgpricecv()
,
asiangeomavg
s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3; numsim=1e04
geomasianmc(s, k, v, r, tt, d, m, numsim, printsds=FALSE)