# Questions tagged [asian-option]

The tag has no usage guidance.

32 questions
30 views

### Monte Carlo for Asian Pricing

I'm trying to verify the accuracy of my Monte Carlo method for pricing mean options. I came across this paper that supposedly gives an 'exact' solution for the arithmetic mean option (asian). It's a ...
24 views

20 views

### Convention for Discrete Asian / Lookback Options

When computing the Payoff of Discrete Asian / Lookback Options (say 12 observations) using MC, does one usually use the value of S0 as well or only the latter realisations? Best regards, Alex
77 views

### Pricing a Path-Dependent Option with Heston

I want to price a path-dependent option (let's say for example an arithmetic average Asian option) under a Heston model. In a Black-Scholes setup, I use forward volatilities to do so. I want to apply ...
125 views

### calculating implied volatility of Asian Option

I am new to the site. I saw another similar question but I can't comment on it because of low rep. I wanted to know how the volatility of an Asian is calculated. I was thinking that a weighted ...
51 views

### Probability distributions as solutions to differential equations

As far as what I can tell, the popularity of the Black-Scholes-Merton model partly stems from the fact that it formulates the value of a derivative in a differential form in which the solution has a ...
99 views

### Asian Call Option

An Asian call option with the average strike payoff, uses the “averaging” to reduce the effect of volatility. Why is this so?
297 views

### Time integral of geometric brownian motion

Suppose $S_t$ is a geometric brownian motion. Then how to understand its time integral, i.e., $Y_t=\int_0^{t}S_udu$? Is $Y_t$ still a stochastic process? How to compute the expectation of $Y_t$? ...
534 views

### Wrong pricing of Asian Option

Issue short: I have values for Asian Options which I'm trying to replicate using a self-build vba calculator. The values I have to hit is from FinCAD and I'm using a discrete arithmetic average rate ...
123 views

### Is there any useful links for option pricing (american + asian + european) using R

I'm trying to evaluate option pricing mainly american, asian and european options in order to get a plot to measure option valuation in time. Is there any useful references to do that using R ?
1k views

### Monte carlo simulation for arithmetic average price asian option [closed]

I am trying to construct a method in python that evaluates the value of an Arithmetic Asian Option using standard Monte Carlo simulation (without control variates). However, I am not getting the ...
139 views

### Pricing Asian option at discrete times

I hope you can help me again regarding pricing an arithmetic Asian option. Asumme we have a time grid $(0=t_0,t_1,t_2=T)$ and we buy an Asian option at time 0 and the maturity is at T. Now we would ...
302 views

### Simulation of the Vega in Heston model (for Asian Option)

I'm new here and I hope you guys can help me. I want to calculate/simulate the Vega for my Asian option in the Heston model. The only source I found is the paper of Broadie/Kaya (2004) but they just ...
3k views

### How to perform Monte-Carlo simulations to price Asian options?

If I wish to price a fixed-strike Asian Call option via Monte-Carlo (This has no early-exercise), are my following steps correct?: 1) Simulate random asset prices. (Milstein) \$\ d S(t) = \ rS(t)dt + ...
278 views

### Asian option and option pricing

I know Asian option is defined as follow $$\left(\frac{1}{T}\int_{0}^{T}S_t dt-K\right)^+$$ Is there a good idea behind this definition. Thanks.
274 views

### Is Asian option in binomial asset pricing model a martingale?

Since it does not have a closed form solution for the price, it's unlikely to be a martingale. However, on the other hand, if we represent the price as a function of the current stock price and the ...