/// <summary>
/// Price a Asian option in the Heston model using the
/// Monte-Carlo method. Accuracy will depend on number of time steps and samples</summary>
/// <param name="parameters">Object implementing IHestonModelParameters interface, containing model parameters.</param>
/// <param name="asianOption">Object implementing IAsian interface, containing the option parameters.</param>
/// <param name="monteCarloSimulationSettings">An object implementing IMonteCarloSettings object and containing simulation settings.</param>
/// <returns>Option price</returns>
public static double HestonAsianOptionPriceMC(IHestonModelParameters parameters,
IAsianOption asianOption,
IMonteCarloSettings monteCarloSimulationSettings)
{
HestonAsianoption v1 = new HestonAsianoption();
if (asianOption.Type == PayoffType.Call)
{
return(v1.CalculateAsianCallOptionPrice(parameters.InitialStockPrice,
asianOption.StrikePrice,
parameters.RiskFreeRate,
asianOption.MonitoringTimes,
asianOption.Maturity,
parameters.VarianceParameters.V0,
parameters.VarianceParameters.Kappa,
parameters.VarianceParameters.Theta,
parameters.VarianceParameters.Rho,
parameters.VarianceParameters.Sigma,
monteCarloSimulationSettings.NumberOfTimeSteps,
monteCarloSimulationSettings.NumberOfTrials));
}
else
{
return(v1.CalculateAsianPutOptionPrice(parameters.InitialStockPrice,
asianOption.StrikePrice,
parameters.RiskFreeRate,
asianOption.MonitoringTimes,
asianOption.Maturity,
parameters.VarianceParameters.V0,
parameters.VarianceParameters.Kappa,
parameters.VarianceParameters.Theta,
parameters.VarianceParameters.Rho,
parameters.VarianceParameters.Sigma,
monteCarloSimulationSettings.NumberOfTimeSteps,
monteCarloSimulationSettings.NumberOfTrials));
}
}
/// <summary>
/// Price a Asian option in the Heston model using the
/// Monte-Carlo method. Accuracy will depend on number of time steps and samples</summary>
/// <param name="parameters">Object implementing IHestonModelParameters interface, containing model parameters.</param>
/// <param name="asianOption">Object implementing IAsian interface, containing the option parameters.</param>
/// <param name="monteCarloSimulationSettings">An object implementing IMonteCarloSettings object and containing simulation settings.</param>
/// <returns>Option price</returns>
public static double HestonAsianOptionPriceMC(IHestonModelParameters parameters, IAsianOption asianOption, IMonteCarloSettings monteCarloSimulationSettings)
{
try
{
// Create Monte Carlo Asian option object
AsianOptionMC asianOptionMC = new AsianOptionMC((HestonModelParameters)parameters,
(MonteCarloSettings)monteCarloSimulationSettings, (AsianOption)asianOption);
return(asianOptionMC.Price(Environment.ProcessorCount));
}
catch (Exception ex)
{
throw ex;
}
}
