Asian options greeks


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7 Dec Keywords: Asian option, Derivatives of option prices, Geometric Brownian. Motion approach to simulate the Asian option price and its greeks.

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10 Jun We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of of Asian geometric option and.

Asian options greeks
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find Greeks for such a wide range of options is clearly a serious issue that An Asian option is “an option with a payoff that depends on the average price of. This thesis will focus on European style Arithmetic Asian options where the than the Asian option settlement price when the underlying asset price has a.

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Numerical Algorithm for Delta of Asian Option

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Description:This is an open access article distributed under the Creative Commons Attribution License , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Abstract We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of of Asian geometric option and use this analytical form as a control to numerically calculate of Asian arithmetic option, which is known to have no explicit close form solution. We implement our proposed numerical method and compare the standard error with other classical variance reduction methods.

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Views: 1388 Date: 2018-03-15 Favorited: 1 favorites

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