Functions for simulation of option prices using Monte Carlo methods are available. The limits to the absolute number of simulations and the execution speed is limited only by the given hardware.

A number of exotic options can be valued with the functionality of this Exotics module. This module is expected to grow considerably in future versions of Derivatives Expert. Currently some common exotic options are introduced here. Many exotic options are also defined and treated in other modules of Derivatives Expert.

The arithmetic average Asian options and the geometric average Asian options also cover forward-start average options where the averaging period is deferred. The Monte Carlo versions of the geometric average Asian options are placed in the Exotic Options 1 module for convenience.

Contents

19.1 Introduction

Summary -- Context -- This Opens the Package

+ 19.2 General Functions/Components

+EuropeanArithmeticAverageCallOption
+EuropeanArithmeticAveragePutOption

+EuropeanArithmeticAverageStrikePutOption
+EuropeanArithmeticAverageStrikeCallOption