Option Application
Asian Options
Implied Distribution - Illustration
Implied Distribution - Market Application
Monte Carlo Tools
Plain Vanilla Options - Heston Method
Plain Vanilla Options - Lévy Process
Spread Option
Portfolio Analysis
Portfolio Construction
Principal Component Analysis
Return Data Statistics
Temperature
Temperature
Yield Curve
Linear Interpolation & Constant Forward
Mortgage
Term Structure Fitting
Login
|
Register
Asian Options
Optimized Lower Bounds (General Models)
Tutorial File: Asian Options.pdf
Model Parameters
Model
CEV
CGMY
DEJD
Heston
Meixner
MJD
NIG
Normal
O-U
VG
$$ \beta $$
$$ C $$
$$ G $$
$$ M $$
$$ Y $$
$$ \sigma $$
$$ l $$
$$ \rho $$
$$ \eta_{1} $$
$$ \eta_{2} $$
$$ \alpha $$
$$ \beta $$
$$ \gamma $$
$$ \rho $$
$$ \ v_{0} $$
$$ a $$
$$ b $$
$$ \delta $$
$$ \sigma $$
$$ l $$
$$ \mu_{x} $$
$$ \sigma_{x} $$
$$ a $$
$$ b $$
$$ \delta $$
$$ \sigma $$
$$ \varepsilon $$
$$ \kappa_{1} $$
$$ \sigma $$
$$ v $$
$$ \theta $$
$$ \sigma $$
Contract Parameters
Spot Price
Interest Rate \((\%) \)
Spot Price
Interest Rate \((\%) \)
Time to Maturity (Years)
Number of Monitoring Dates
Price
Time to Maturity (Years)
Number of Monitoring Dates
Price
FFT Parameters
Grid Points (2^)
Grid Upper Bound
Grid Lower Bound
Grid Upper Bound
Grid Lower Bound
Damping Coefficient
Tolerance