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Pricing Arithmetic Average Asian Options
Pricing Arithmetic Average Asian Options
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Maplesoft
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Arithmetic average Asian options are securities whose payoff depends on the average of the underlying stock price over a certain period of time. To be more precise, the value of the continuous arithmetic Asian call option at time t <= T is given by C[t, T](K) = exp(-r*(T-t))*E*[T^(-1)*Int(S(u), u = 0 .. T)-K]^`+` where S(t) is the stock price at time t , T is the expiration date, and K is the strike price. Since no general closed form solution for the price of the arithmetic average Asian option is known, a variety of numerical methods have been developed. These include Monte Carlo simulation, PDE approach and numeric inversion of the Laplace transform. In this worksheet we demonstrate how these methods can be implemented in Maple.
Application Details
Publish Date
:
November 01, 2004
Created In
:
Maple 9.5
Language
:
English
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economics
finance
monte-carlo
laplace-transform
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