Asian options monte carlo

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As the number of levels increases, the results approach the closed form solutions. It takes in the pointer to the PayOff as its lone constructor argument:. The Quantcademy Join the Quantcademy membership portal that caters to the rapidly-growing retail quant trader community and learn how to increase your strategy profitability. We could also introduce digital and double digital pay-off classes here, but for the purposes of demonstrating Asian options, I will leave that as an exercise! You can analyze options prices at different levels of the underlying asset. We'll take a look at the full listing for the payoff. Home Questions Tags Users Unanswered. This takes a vector of spot prices, but notice that it is passed as a reference to constso this vector will not be modified within the method: Since call option value decreases as strike price increases, the Asian call curve is under the Vanilla call curve.

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