# Questions tagged [asian-option]

The tag has no usage guidance.

70 questions
Filter by
Sorted by
Tagged with
33 views

### Asian option equation

Im trying to find an equation for the discrete geometric asian option put price and are seeing a lot of differencies. Any recommondations for good papers?? I also tried to proof the call price from ...
1 vote
67 views

### Who knows what the name of this put option is? It's like a conditional Asian option, but with an upper boundary

Let $a < K < b$, then this option formula is: $$\left(K - \frac{1}{\int_0^T\mathbb{1}_{\{a<S_t<b\}}dt}\int_0^TS_t\mathbb{1}_{\{a<S_t<b\}}dt\right)^{\large+}$$
41 views

### Commodity forward curve Monte-Carlo

I need to value an Asian commodity option using Monte Carlo and a log-normal model. The inputs are the commodity forward curve and the volatility surface for futures/options expiry. Unfortunately, all ...
1 vote
57 views

### asian geometric option valuation-- unable to get monte carlo simulation to converge to analytic value

I'm trying to price asian put options in which the averaging window begins immediately (T=0). currently, I'm trying to match up geometric averaging between my Monte Carlo simulations and my attempt at ...
1 vote
103 views

### Closed-form equation for geometric asian call option

I'm looking to use the geometric asian option as a control variable for a monte carlo simulation. However, I have an issue with the closed-form equation to get the geometric price. I'm using the ...
49 views

### Effect of number of monitoring points on Asian Option Price

I want to understand conceptually the expected effect of the number of monitoring points used during the average calculation on Asian options pricing and the reason of such effect. Asian Options ...
1 vote
34 views

### Exotic options with lookback features [closed]

I am trying to value an american call option with a lookback feature. So the holder can choose to exercise either based on a fixed strike (K) or a floating strike equal to 10-day moving average (MA). ...
1 vote
213 views

### SABR LMM vs no-arbitrage term structure of SABR parameters

There exists a LIBOR Market Model with stochastic volatility for pricing and hedging exotic (e.g. path-dependent) interest rate options with smile. However let us consider the following approach: ...
222 views

### What is the meaning of an implied volatility of an Asian option?

Suppose that an Asian option is quoted OTC in terms of its implied volatility. What is the meaning of an implied volatility in this case? Is it an implied volatility of a vanilla European option with ...
435 views

### Asian option IV less than vanilla option IV

I was wondering whether the following handwaving line of thought can be used to show that the IV of an Asian option is less than the IV of a vanilla option with the same strike and time to maturity: ... 50 views

### Why is the argument for the accumulated price process allowed to be negative in asian options?

Consider an Asian call option on some underlying with price process $S$ which follows a geometric Brownian motion, and accumulated price process $Y$, where $Y_t = \int_{0}^{t}S_u du$. Let $v$ be the ...
1 vote
175 views

85 views

### Brownian Bridge from timestep 1 to timestep @ expiration, proper mathematical way to generate

When I was learning finance, we didn't cover the subject of Brownian Bridges. So I am trying to learn the proper way of generating paths when you have an arithmetic Asian option which has an ...
1 vote
194 views

### Pricing Asian and barrier option using Quantlib

I am exploring to use the ql.FdBlackScholesAsianEngine and ql.FdBlackScholesBarrierEngine using python code to price commodity options with implied volatility from traded European or American options. ...
192 views

### Interpreting Implied Volatility in Commodities Options

I understand that implied volatility is the expected volatility of an underlying contract in the Black option pricing model. This is easy to interpret for assets delivered at a point in time. But how ...
199 views

### Monte Carlo Greeks for Fixed Strike Asian Call

I am interested in pricing an European-style fixed strike asian call with payoff $\max(A(S)-K;0)$, where $A(S)=\frac{1}{n}\sum_{i=1}^nS(t_i)$ is a discrete arithmetic average and $K$ is the strike ...
671 views

### Path-dependent options valuation

Assume that we have an arbitrage-free and complete market. The well known formula for the arbitrage-free price of an attainable derivative $X$ at time $0 \leq t \leq T$ is given by: \begin{align*} V(t)...
163 views

1 vote
629 views

### Unable to find Price of Asian Option using Explicit Finite Difference Method by implementing QuantLib in Python

I am trying to find price of Continuous Geometric Average Asian Option using Finite Difference methodology in QuantLib Python. I am unable to do so. However, I am able to find price of the same option ...
278 views

### Asian option sensitivity

I am looking for some materials for profiling all options sensitivities for Asian options with both geometric averaging and arithmetic averaging . The underlying price $S_t$ follows a standard GBM. Is ...
83 views

### Average Strike Option with bounds

I'm looking to price a call option with an exotic feature. The price I'm trying to calculate at time $t=0$ is \begin{equation} C = E^\mathbb{Q}[(S_T-K_T)^+] \end{equation} where $S_t$ is the stock ...
243 views

128 views

### Stratified sampling in asian options

I am using the procedure of stratified sampling for variance reduction. In the Glasserman book the algorithm for stratified the terminal value of the Brownian motion is given for european options. For ...
157 views

### Is it possible to transform arithmetic-average strike continuous sampling Asian Black-Scholes equation to a heat equation?

By Transformation from the Black-Scholes differential equation to the diffusion equation - and back, we are able to transform vanilla European option into a heat equation. And we know that the ...
1 vote
383 views

### Asian Options Vs Bermudan Options

Which of these options are more popular in practice/used in industry? And where exactly are they used? Also, I have been searching for listed Asian and Bermudan options, for volume data etc, but have ...
1 vote
33 views

### Give the formula for following resulting portfolio process

Consider the continuously sampled a derivative security with payoff function $V(T) = \frac {\int_0^TS(u)du}T -K$ but assume now that the interest rate is $r=0$. Find an initial capital $X(0)$ and a ...