BS_Malliavin_Asian_Greeks {greeks}

Computes the Greeks of an Asian option with the Malliavin Monte Carlo Method in the Black Scholes model

Description

For a description of Asian Greeks see Malliavin_Asian_Greeks. BS_Malliavin_Asian_Greeks offers a fast implementation in the Black Scholes model.

Usage

BS_Malliavin_Asian_Greeks(
  initial_price = 100,
  exercise_price = 100,
  r = 0,
  time_to_maturity = 1,
  volatility = 0.3,
  dividend_yield = 0,
  payoff = "call",
  greek = c("fair_value", "delta", "vega", "rho"),
  steps = round(time_to_maturity * 252),
  paths = 1000,
  seed = 1
)

Arguments

initial_price

• initial price of the underlying asset, can also be a vector

exercise_price

• strike price of the option, can also be a vector

r

• risk-free interest rate

time_to_maturity

• time to maturity in years

volatility

• volatility of the underlying asset

dividend_yield

• dividend yield

payoff

• the payoff function, either a string in ("call", "put"), or a function

greek

• Greeks to be calculated in c("fair_value", "delta", "rho", "vega")

steps

• the number of integration steps

paths

• the number of simulated paths

seed

• the seed of the random number generator

Value

Named vector containing the values of the Greeks specified in the parameter greek.

See Also

Malliavin_Asian_Greeks for a greater set of Greeks and also in the jump diffusion model

Greeks_UI for an interactive visualization

Examples

BS_Malliavin_Asian_Greeks(initial_price = 110, exercise_price = 100,
r = 0.02, time_to_maturity = 4.5, dividend_yield = 0.015, volatility = 0.22,
greek = c("fair_value", "delta", "rho"), payoff = "put")