Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Sensitivities of Prices of Financial Options and Implied Volatilites

Asian, American, European and barrier option pricing

Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods

Lab assignments of Financial Engineering Course MA374

In this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options in R. In addition, I compare the empirical delta between European and average rate Asian options.

The R code of the "Sum of all Black-Scholes-Merton models" paper

Vrednovanje azijskih opcija

An R Library published on CRAN for variance reduction algorithms.