Asian option greeks

Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up. Connect and share knowledge within a single location that is structured and easy to search. Asian Option where the underlying price at end of the contract is the Average daily price between the strip and the strike price 1 month between the dates of the Dated Brent Future Or at least that is what I understand.

Help Center Help Center. All these methods involve some tradeoffs between numerical accuracy and computational efficiency. This example also demonstrates how variations in spot prices, volatility, and strike prices affect option prices on European Vanilla and Asian options. Asian options are securities with payoffs that depend on the average value of an underlying asset over a specific period of time. Underlying assets can be stocks, commodities, or financial indices. Two types of Asian options are found in the market: average price options and average strike options. Average price options have a fixed strike value and the average used is the asset price.

Stock options are widely used in public and private markets, both as malleable trading tools and for employee compensation. Yet many do not understand the components behind how they are priced. This guide discusses what drives the behavior of call and put options and how they can be deployed within portfolio management. Option grants have grown even more common as a form of compensation, considering the proliferation of startups in the technology and life-sciences spaces.

We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of of Asian geometric option and use this analytical form as a control to numerically calculate of Asian arithmetic option, which is known to have no explicit close form solution. We implement our proposed numerical method and compare the standard error with other classical variance reduction methods. Our method provides an efficient solution to the hedging strategy with Asian options.