video asian option 20 periods’ pay-off stock’s up/down determined by mean and volatility u –...
Post on 15-Dec-2015
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Slide 2 video Slide 3 Slide 4 Slide 5 Asian Option 20 periods pay-off stocks up/down determined by mean and volatility u up price jump d - down price jump Asian Option Pricing Algorithm Stock price 1.Using Monte-carlo simulation to generate sample paths for a stock S, P is the probability for the stock to go down rand var > P S up rand var Asian Option Pricing Algorithm 1.Using Monte-carlo simulation to generate sample paths for a stock S, P is the probability for the stock to go down rand var > P S up rand var HPC SOA API Asian Option Pricing Algorithm 1.Using Monte-carlo simulation to generate sample paths for a stock S, P is the probability for the stock to go down rand var > P S up rand var
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