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Pricing of Asian options in C++ with Monte Carlo Simulation

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AsianOption

Pricing of Asian options in C++ with Monte Carlo Simulation

Fixed and floated strike
Geometric average with closed form solution
Error analysis
Monte Carlo enhancement and adjustment
Report available in pdf

Further explorations

Finite difference could be implemented for good comparison with time machine assessment *
American Asian option and Bermudan option coverage

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Pricing of Asian options in C++ with Monte Carlo Simulation

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C++ 100.0%