bs asian option mc

financepy.models.bs_asian_option_mc

Functions

asian_value_mc_sobol


asian_value_mc_sobol(
    t_avg: float,
    t_exp: float,
    k: float,
    num_obs_per_year: int,
    opt_type_value: int,
    stock_price: float,
    interest_rate: float,
    dividend_yield: float,
    volatility: float,
    num_paths: int,
    seed: int,
    accrued_average: float = None,
    num_scrambles: int = 8,
) -> tuple[float, float]

Price an arithmetic Asian option using scrambled Sobol paths. num_paths counts *all* simulated paths, including the antithetic paths and all independent scrambles. The number of Sobol path pairs within each scramble must be a power of two. The reported error is the standard error across independent randomized-QMC replicate prices, not an IID standard error calculated from individual Sobol paths.

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