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Asian option price

The calculation of the Asian option value has posed a great challenge to financial mathematicians as well as practitioners for the last two decades. Since there exists no analytical valuation formula to date, one has to resort to other methods to price this commonly used derivative product. One possibility is the usage of simulation approaches, which however are especially inefficient for Asian options, due to their dependence on the entire stock price trajectory. In this paper, we seek answer to the question whether it is possible to improve on the efficiency of the semi-analytical approach, implementing and comparing different numerical algorithms, so that they could be applied in real-life situations. Based on a comprehensive analysis of speed and reliability, we find that the Laplace transform inversion method can be further enhanced, pushing down the prior critical value from 0. This renders the numerical approach readily applicable for practitioners; however, we conclude that the simulation approach is a more efficient option when.
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Computer Science > Computational Engineering, Finance, and Science

Asian option price
Asian option price
Asian option price
Asian option price
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Pricing Asian Options - MATLAB & Simulink Example

Translated by Mouseover text to see original. Click the button below to return to the English version of the page. Note: This page has been translated by MathWorks. Click here to see To view all translated materials including this page, select Country from the country navigator on the bottom of this page. The automated translation of this page is provided by a general purpose third party translator tool. MathWorks does not warrant, and disclaims all liability for, the accuracy, suitability, or fitness for purpose of the translation.
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Monte Carlo Black-Scholes Asian Options Pricing Design Example

An Asian option is a financial instruction whose price is path dependent. The payoff of such an option is dependent on the average price over a number of sampled points from the start time to the time of maturity. This example specifically considers the pricing of arithmetic Asian options. Through the use of multiple kernels and Intel's channels vendor extension, this example shows how to efficiently implement a Monte Carlo simulation to price Asian options. At the core of the computation is a kernel implementing the Black-Scholes model.
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For average price Asian options, the price is a decreasing function of n. For average strike Asian options, the price is an increasing function of n. I also fail to see how the number of sample points can always have the same effect on price when the average is highly dependent on the profile of asset price. A concave - up function will have a lower average with more sampling and a concave - down function will have a higher average with more sampling. Any insight as to whether this paragraph makes sense or not will be greatly appreciated!
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