In this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options. In addition, I am using these results to compare the empirical delta between European and average rate Asian options. The research is 100% reproducible.
The files of interest are;
- 'vanilla-and-exotic-option-pricing.pdf': The rendered PDF report,
- 'vanilla-and-exotic-option-pricing.tex': The LaTeX source document,
- ''vanilla-and-exotic-option-pricing.Rmd': The raw article, including all R programming code.
For more information, please contact c.satzky@gmail.com.