Asian Options & Monte Carlo Methods

Authors

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

Keywords:

Options, Pricing, Asian, Monte Carlo Methods.

Abstract

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.

References

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International Journal of Scientific Research in Science and Technology

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Published

2017-12-31

Issue

Volume 3, Issue 8, November-December-2017

Section

Research Articles

License

Copyright (c) IJSRST

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

[1]
Mahesh S. Naik "Asian Options & Monte Carlo Methods" International Journal of Scientific Research in Science and Technology(IJSRST), Online ISSN : 2395-602X, Print ISSN : 2395-6011,Volume 3, Issue 8, pp.584-587, November-December-2017.