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Pricing an Asian Option using Binomial and MonteCarlo

Danut Alexandru Risnoveanu

Danut Alexandru Risnoveanu

Joined
2/28/17
Messages
2
Points
11
I have this assignement on option pricing on one of my courses. I know the technicalities, but I would really appreciate any suggestions on how to compare the convergence of the methodologies.

Also, any other advice on how I should approach it is welcomed!

Thank you!
Alex
 

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Comparing "rate of convergence" between 1) and 2) is like comparing bananas and cucumbers.

Why not start on plain option and then Asian?

Get the fundamentals in place first.
 
OK. So, a bit of research/literature study to be done.

Why binomial (bit old-fashioned) and not finite difference?
 
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