Asian option — details

About this app

Monte-Carlo pricing with a quantifiable error: the running price estimate with its ±1.96·SE band cinches in at 1/√M; the European estimate from the same paths validates against the analytic Black-Scholes reference. “+1000 paths” animated, “+10000” fast. Debunks “simulation is guessing”.

Subject: Financial derivatives

More from Financial derivatives

• Asian option — concept
• Exercise styles — details
• Exercise styles — concept
• Binomial tree — details
• Binomial tree — concept
• Cap / floor / collar — concept
• Credit default swap — details
• Credit default swap — concept

A VisuApp by heyprof: interactive, free in your browser, no sign-up. What is a VisuApp? · All apps