'Asian option' presentation slideshows

Monte Carlo Methods in Finance IIM Ahmedabad, Nov 6, 2005 Sandeep Juneja

Monte Carlo Methods in Finance IIM Ahmedabad, Nov 6, 2005 Sandeep Juneja School of Technology and Computer Science Tata Institute of Fundamental Research. Talk Outline. Motivating Monte Carlo methods in finance through simple Binomial tree models for European options Monte Carlo Method

1.11k views • 90 slides

Derivative Pricing

Derivative Pricing. Black-Scholes Model Pricing exotic options in the Black-Scholes world Beyond the Black-Scholes world Interest rate derivatives Credit risk. Interest Rate Derivatives. Products whose payoffs depend in some way on interest rates. Underlying Interest rates Basic products

839 views • 44 slides

Option Pricing: An Introduction

Option Pricing: An Introduction. Ravi Mukkamala. Popular Models. Black-Scholes options pricing Binomial model (Cox, Ross, and Rubinstein) Implied volatility tree model (Deman and Kani) Implied binomial tree (Rubinstein). What are options?.

737 views • 41 slides

7.5 Asian Options

7.5 Asian Options. ???????? ???????. ?. An Asian option is one whose payoff includes a time average of the underlying asset price.

594 views • 40 slides

744 views • 28 slides

382 views • 27 slides

Chapter 19

Chapter 19. Monte Carlo Valuation. Monte Carlo Valuation. Simulation of future stock prices and using these simulated prices to compute the discounted expected payoff of an option Draw random numbers from an appropriate distribution

274 views • 27 slides

Object Oriented Modelling

Object Oriented Modelling. Object Oriented Modelling. Develop cognitive models to help discover and design OO software Focus is on finance applications High-level Concept Mapping techniques Map CMs to UML, patterns and code. What is a Concept?.

404 views • 26 slides

Fast Fourier Transform for Discrete Asian Options

Fast Fourier Transform for Discrete Asian Options. European Finance Management Association Lugano June 2001 Eric Ben-Hamou benhamou_e@yahoo.com. Outline. Motivations Description of the methods Log-Normal density Non-Log-Normal density Conclusion. Motivations.

299 views • 20 slides

The Monte Carlo Method Part 2 with maple programming

The Monte Carlo Method Part 2 with maple programming. By: Joe Casey. Review . T he Monte Carlo method solves a problem by directly simulating the underlying (physical) process and then calculating the (average) result of the process. 1. Draw a random number

867 views • 18 slides

Practical Guide for Pricing FX Asian Option

An FX Asian option or Asian currency option is a special type of option contract where the payoff depends on the average of the underlying exchange rates over a certain period of time. The payoff is different from the case of a European option or American option, where the payoff of the option contract depends on the underlying FX rate at exercise date. This presentation provides an overview of FX Asian option product and valuation. You can find more details at http://www.finpricing.com/lib/EqAsian.html

181 views • 17 slides

FX Asian Option Introduction and Pricing Guide

FX Asian Option Introduction and Pricing Guide. Michael Taylor FinPricing. FX Asian.

178 views • 17 slides

A Guide to Pricing Equity Asian Option

An Asian option or average option is a special type of option contract where the payoff depends on the average price of the underlying asset over a certain period of time. The payoff is different from the case of a European option or American option, where the payoff of the option contract depends on the price of the underlying stock at exercise date. This presentation provides an overview of Asian equity option product and valuation. You can find moredetails at http://www.finpricing.com/lib/EqAsian.html

153 views • 13 slides

Simulating the value of Asian Options Vladimir Kozak

Simulating the value of Asian Options Vladimir Kozak. Variance Reduction Techniques for Asian Options. Some of the possible methods: Control Variates Stratified Sampling Importance Sampling. Definition. Discretely sampled Asian Call Option has payoff at maturity: Where

254 views • 12 slides

Software Demonstration and Course Description

Software Demonstration and Course Description. P.N. Lai. Presentation Flow. MPICH and SPRNG mpiJAVA Gaussian AMBER VMD Recurring High Performance Computing Course. MPICH and SPRNG. Himalaya Option Pricing using Monte Carlo and Quasi Monte Carlo Simulation

244 views • 12 slides

Developing A New Crediting Method

Developing A New Crediting Method. Jeff Hanschmann. Why Develop a New Crediting Method?. Feedback and planned enhancements Options for customers Simplicity Innovation. Common Crediting Methods. Annual Point-to-Point Difference between ending and beginning annual values

192 views • 11 slides