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Asian Option - Pricing using Monte Carlo Control Variate Method

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Price asian option using Monte carlo control Variate

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An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate

Comments and Ratings (2)

Neer Nitzshe

good! easy to understand code

Dimitri Shvorob

I don't expect quality from a bit of code that starts with 'Montecarlo control variate
vanilla controlled by stockprice'. Does it even run? asiancall_mc_cv.m calls function 'BS_European_Call', which I don't find anywhere.

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