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Asian Option Pricing and Volatility
www.math.kth.seapproximate Arithmetic Asian option prices using the geometric mean prices, [4]. In order to price Arithmetic Asian option accurately numerical methods has to be used, and one such is Monte Carlo Simulation. Monte Carlo simulation Using Monte Carlo simulation to calculate the price of an option is a useful technique when the
USING DURATION AND CONVEXITY TO APPROXIMATE …
www.soa.orgusing the concepts of duration defined below, such approximations can be done quickly using nothing more than a handheld calculator. Even when full computing power is available, approximations like the ones in this note are essential. For example, when doing multi-year projections using Monte Carlo techniques for