Pricing an Asian Option using Binomial and MonteCarlo

[Danut Alexandru Risnoveanu]

I have this assignement on option pricing on one of my courses. I know the technicalities, but I would really appreciate any suggestions on how to compare the convergence of the methodologies.

Also, any other advice on how I should approach it is welcomed!

Thank you!
Alex

 

[Daniel Duffy]

Comparing "rate of convergence" between 1) and 2) is like comparing bananas and cucumbers.

Why not start on plain option and then Asian?

Get the fundamentals in place first.

 

[Danut Alexandru Risnoveanu]

Comparing "rate of convergence" between 1) and 2) is like comparing bananas and cucumbers.

Why not start on plain option and then Asian?

Get the fundamentals in place first.

I know it feels the same but these are the requirements :-s

 

[Daniel Duffy]

OK. So, a bit of research/literature study to be done.

Why binomial (bit old-fashioned) and not finite difference?