Description Usage Arguments Value See Also Examples

Calculation of arithmetic-average Asian call price using control variate Monte Carlo valuation

1 | ```
arithavgpricecv(s, k, v, r, tt, d, m, numsim)
``` |

`s` |
Price of underlying asset |

`k` |
Strike price of the option. In the case of average strike
options, |

`v` |
Volatility of the underlygin asset price, defined as the annualized standard deviation of the continuously-compounded return |

`r` |
Annual continuously-compounded risk-free interest rate |

`tt` |
Time to maturity in years |

`d` |
Dividend yield, annualized, continuously-compounded |

`m` |
Number of prices in the average calculation |

`numsim` |
Number of Monte Carlo iterations |

Vector of the price of an arithmetic-average Asian call, computed using a control variate Monte Carlo calculation, along with the regression beta used for adjusting the price.

Other Asian: `arithasianmc`

,
`asiangeomavg`

, `geomasianmc`

1 2 | ```
s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0; m=3; numsim=1e04
arithavgpricecv(s, k, v, r, tt, d, m, numsim)
``` |

```
price beta
1.977917 1.011884
```

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.