Pricing Asian Option and Lookback Option with Monte Carlo Method

Yiyang Lu

Chapter 24 in Internet Finance and Digital Economy:Advances in Digital Economy and Data Analysis Technology, 2023, pp 329-338 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This is a project on the use of the Monte Carlo scheme to price exotic options to be completed using Python. Both values of the Asian option and the Lookback option are calculated by using the Euler– Maruyama scheme for initially simulating the underlying stock price. In both cases, the following set of data is used to simulate underlying stock prices. Today’s stock price S0 = 100, strike price E = 100, Time to expiry (T − t) = 1 year, volatility sigma = 0.2, and constant risk-free interest rate r = 0.05.

Keywords: Internet Economy; Online Finance; Financial Engineering; Big Data; Blockchain; Supply Chain; E-commerce (search for similar items in EconPapers)
JEL-codes: G2 O33 (search for similar items in EconPapers)
Date: 2023
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