Asian Option

Overview

The Asian Option module provides functionality for pricing and analyzing Asian-style options using various numerical methods. Asian options are path-dependent options where the payoff depends on the average price of the underlying asset over a specific period.

Key Features

• Pricing of Asian call and put options

• Support for arithmetic and geometric average price calculations

• Implementation of multiple pricing methods (e.g., Monte Carlo simulation, analytical approximations)

• Greeks calculation for risk management

Classes

AsianOption

Functions

Examples

Here’s a basic example of how to use the AsianOption class:

from torchquantlib.core.asset_pricing.option.asian_option import AsianOption

# Create an Asian call option
option = AsianOption(
    underlying=100,
    strike=95,
    expiry=1.0,
    rf_rate=0.05,
    volatility=0.2,
    option_type='call',
    averaging_type='arithmetic',
    averaging_period=0.5
)

# Price the option using the Monte Carlo method
price = option.price(method='monte_carlo', num_simulations=100000)
print(f"Asian call option price: {price:.4f}")

# Calculate option Greeks
delta = option.delta()
gamma = option.gamma()
theta = option.theta()
vega = option.vega()
rho = option.rho()

print(f"Delta: {delta:.4f}")
print(f"Gamma: {gamma:.4f}")
print(f"Theta: {theta:.4f}")
print(f"Vega: {vega:.4f}")
print(f"Rho: {rho:.4f}")