Asian option value average price xls
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Asian options are priced based on the average price of the underlying instrument . Both the strike value and expiration value can be calculated from the average.
Price Asian Options in Excel
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Asian options also fit the. 15, risk profile of energy producers who need to meet budget targets based on average prices. Such exotic options make it possible for .
7, This spreadsheet calculates the value of an Asian option for a time path of n=3. 8 . 47, Asian average price options payoffs are, for a call, max[S(average) - K.
Description:For those of you who are interested in learning how to price an exotic option using Monte Carlo simulations, I have produced an excel spreasheet with modifiable code that is for sale: Tweet The Asian option payoff depends on the average price of the underlying asset over a specific period of time. The expected payoff of an Asian option is less than the expected payoff of a European option and is therefore much cheaper. Numerical approaches, such as binomial lattices or monte carlo simulation, are also used. On the plus side, the Asian option takes away some of the point of time risks embedded in European options and allow for more stable payoffs.