### Asian, options - Tutorial and, excel Spreadsheet

Geometric Brownian Motion (GBM and we will create each path by adding the correct drift and variance at each step in order to maintain the properties of GBM. In a production environment this would become unwieldy. Then we take the geometric mean of these values and finally use pointer dereferencing once again to determine the correct call/put pay-off value: double std:vector spot_prices) const unsigned num_times spot_ze double log_sum.0; for (int i0; i spot_ze i) log_sum log(spot_pricesi.

They are used by traders who are exposed to the underlying asset over a period of time such as consumers and suppliers of commodities, etc. Asian options in particular base their price off the mean average price of these sampled points. For this program it will provide a call or a put pay-off function for the average of the spot prices: double std:vector spot_prices) const unsigned num_times spot_ze double sum std:accumulate(spot_gin spot_prices. Asian options are averaged arithmetically or geometrically, and either of these approaches can be weighted.

I will show the full listing for the header file which contains these functions, then I will step through calc_path_spot_prices in detail: #ifndef _path_generation_H #define _path_generation_H #include vector #include cmath / For random Gaussian generation / Note. Asian options are priced based on the average price of the underlying instrument.