Asian Options & Monte Carlo Methods

Authors(1) :-Mahesh S. Naik

Price manipulation is reserved for commodity products with low trading volumes, Asian options play an important in pricing in such cases. Since there is no systematic solutions to arithmetic average options, iterative or numerical methods are used. Computer Simulation using Monte Carlo methods plays an important in this case. Various reduction techniques are also used to improve accuracy. This paper deals with Monte Carlo method’s use in pricing options and also comparison with other options. Moreover paper also gives a thought to using Quasi Monte Carlo methods in pricing Asian options.

Authors and Affiliations

Mahesh S. Naik
Research Scholar, Shri Jagdishprasad Jhabarmal Tibrewala University, Chudela, Rajasthan, India

Options, Pricing, Asian, Monte Carlo Methods.

  1. P. P. Boyle.Options: A Monte Carlo Approach.Journal of Financial Economics,4:323-338,1977.
  2. C.Joy,P.P.Boyle and K.Seng Tan.Quasi-monte carlo methods in numerical
  3. finance.Management Science,42:926-938,1996.
  4. L.C.G. Rogers,and Z. Shi. The value of an Asian option. Journal of Applied
  5. Probability, 32:1077?88,1995.
  6. R.Y.Rubinstein, and D.P.Kroese.Simulation and the Monte Carlo Method.
  7. Wiley-Interscience,2007.
  8. P.Wilmott,S.Howison, and J. Dewynne. The Mathematics of Financial
  9. Derivatives.Cambridge University Press,1996.

Publication Details

Published in : Volume 3 | Issue 8 | November-December 2017
Date of Publication : 2017-12-31
License:  This work is licensed under a Creative Commons Attribution 4.0 International License.
Page(s) : 584-587
Manuscript Number : IJSRST173881
Publisher : Technoscience Academy

Print ISSN : 2395-6011, Online ISSN : 2395-602X

Cite This Article :

Mahesh S. Naik, " Asian Options & Monte Carlo Methods", International Journal of Scientific Research in Science and Technology(IJSRST), Print ISSN : 2395-6011, Online ISSN : 2395-602X, Volume 3, Issue 8, pp.584-587, November-December-2017.
Journal URL : https://ijsrst.com/IJSRST173881
Citation Detection and Elimination     |      | | BibTeX | RIS | CSV

Article Preview