Timeline for Asian option sensitivity
Current License: CC BY-SA 4.0
15 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 1, 2020 at 21:00 | history | tweeted | twitter.com/StackQuant/status/1300901250825949185 | ||
| Sep 1, 2020 at 4:49 | comment | added | StackG | Done - please see below! | |
| Aug 31, 2020 at 8:23 | comment | added | Bogaso | @StackG - yes please, much appreciate! | |
| Aug 31, 2020 at 5:40 | comment | added | StackG | Btw. I have a lot of QuantLib code snippets that could help out here - let me know if that is useful for you and I'll add some to my answer below | |
| Aug 31, 2020 at 4:03 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Aug 1, 2020 at 0:33 | answer | added | StackG | timeline score: 4 | |
| S Jul 31, 2020 at 21:12 | history | suggested | Alex | CC BY-SA 4.0 |
formatting and tags
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| Jul 31, 2020 at 20:48 | comment | added | Alex | What do you mean with profiling of Greeks? | |
| Jul 31, 2020 at 20:43 | comment | added | Bogaso | For GM, I think a closed form solution is available. However for AM, I would use MC. My question if profiling of Greeks are available for such options? | |
| Jul 31, 2020 at 20:41 | comment | added | Alex | How do you price such an Asian option? Monte Carlo? Finite difference? Tree? Fourier method? Closed form (for geometric averaging)? | |
| Jul 31, 2020 at 20:40 | review | Suggested edits | |||
| S Jul 31, 2020 at 21:12 | |||||
| Jul 31, 2020 at 20:38 | comment | added | Bogaso | @Alex Under standard GBM. I have added this information in original post. | |
| Jul 31, 2020 at 20:37 | history | edited | Bogaso | CC BY-SA 4.0 |
added 143 characters in body
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| Jul 31, 2020 at 20:34 | comment | added | Alex | For what model? How would you price the option? You can always approximate the Greeks by a finite difference once you know the price. You can then generate plots comparing how the Greeks change for varying parameters | |
| Jul 31, 2020 at 20:21 | history | asked | Bogaso | CC BY-SA 4.0 |