/// <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;
}
}
public void Task_2_7_1()
{
// Variance Process Values
double Kappa = 2;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 1;
List <double> MonitoringTimes = new List <double>
{
0.75,
1.00
};
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity);
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
AsianOption asianOption =
new AsianOption(StrikePrice, Type, Maturity, MonitoringTimes);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
AsianOptionMC asianOptionMC =
new AsianOptionMC(hestonModel, monteCarloSettings, asianOption);
Assert.AreEqual(13.6299, asianOptionMC.Price(1), 1e-1);
}
