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["     Price of Asian Options in Binomial Model"]
[]
["Stock Price",20,null,"  Enter data in yellow cells or use sample data."]
["Strike Price",15,null,"  Option prices appear in columns B and C."]
["Rate per period",1.6438356164383562E-4]
["Periods",90]
["Up factor u",1.1000000000000001,null,"         Program calculates option prices by two methods, deterministic and Monte Carlo. The"]
["Down factor d",0.7,null,"     deterministic method uses an algorithm to generate all possible stock price scenarios in"]
["Monte Carlo Sample Size",100000,null,"     the form of a sequence of ones and zeros, one representing a 'u'  and a zero representing",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,5124.4084972941209]
[null,null,null,"     a 'd'. Sums Y_n of these up  through n periods represent binomial random variable values and"]
[null,null,null,"     are used to calculate S_n = S_0 * v^Y_n * d^n. The latter values are then used to calculate"]
["Calls",null,null,"     the payoff H. The expectation E*(H) is calculated by multiplying H by the probability of the"]
["Fixed strike --arithmetic",5.9969681724015915,9.2232499980096811,"     scenario and summing over all scenarios. This method is slower and should not be used if the"]
["Fixed strike--geometric",5.4229785112293429,6.2283122110113451,"     number of periods exceeds 18."]
["Floating strike--arithmetic",3.2670447643447078,7.7553706931719324,"         The Monte Carlo method uses a random number generator to obtain a stock price scenario."]
["Floating strike--geometric",3.6098955505571015,9.4860192903331573,"     The payoff H is obtained from the scenario as in the deterministic method. The average of these"]
[null,null,null,"     payoffs is the sample sum and is taken as an approximation of E*(H) (law of large numbers)."]
["Puts"]
["Fixed strike--arithmetic",6.9816332273171522,13.282459638480477]
["Fixed strike--geometric",6.7119514063424104,11.845008588724527]
["Floating strike--arithmetic",6.5094549748718871,15.211819545532505]
["Floating strike--geometric",6.3168590128191884,14.141005633095288]

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