CapeTools Asian Engine
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In total there are 8 functions present within the CapeTools Asian Engine category of functions.
General Description
Functions to create several Asian engines for the pricing of Asian options. You can price Asian options by executing the ContinuousAsianOption() or DiscreteAsianOption() functions using one of the following engines :
- Analytic Continuous Geometric Average Price Asian Engine
- Analytic Discrete Geometric Average Price Asian Engine
- Pseudo MonteCarlo Discrete Arithmetic Average Price Engine
- Pseudo MonteCarlo Discrete Geometric Average Price Engine
- Quasi MonteCarlo Discrete Arithmetic Average Price Engine
- Quasi MonteCarlo Discrete Geometric Average Price Engine
Function list.
- ContinuousAsianEngine - Creates an Analytic Continuous Geometric Average Price Asian Engine for pricing asian (average rate) options.
- DiscreteAsianEngine - Creates an Analytic Discrete Geometric Average Price Asian Engine for pricing asian (average rate) options.
- PMCArithmeticAsianEngine - Creates a Pseudo MonteCarlo Discrete Arithmetic Average Price Engine for pricing average rate options.
- PMCArithmeticAsianEngine2 - Creates a Pseudo MonteCarlo Discrete Arithmetic Average Price Engine for pricing average rate options.
- PMCGeometricAsianEngine - Creates a Pseudo MonteCarlo Discrete Geometric Average Price Engine for pricing average rate options.
- PMCGeometricAsianEngine2 - Creates a Pseudo MonteCarlo Discrete Geometric Average Price Engine for pricing average rate options.
- QMCArithmeticAsianEngine - Creates a Quasi MonteCarlo Discrete Arithmetic Average Price Engine for pricing average rate options.
- QMCGeometricAsianEngine - Creates a Quasi MonteCarlo Discrete Geometric Average Price Engine for pricing average rate options.
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