Asian Options 

  • Instead of the strike of an Asian option being determined by the market price at expiry, an Asian option uses the mean of the spot prices on an agreed list of dates during the life of the option.
  • Asian Options are very useful for hedging continuous expenditure, eg fuel costs.
  • It is straightforward to calculate the price of an Asian Option using a Monte Carlo method. There isn't a closed form solution for arithmetic mean Asian's but there is one for a geometric Asians.
  • The Control Variate method can improve the efficiency of the Monte Carlo method, It uses the geometric formula to speed the process.


www.peterdeeney.com/Asian_Options_MC.pdf



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