Métodos numéricos para valoración de opciones asiáticas

Abstract

This Master's Thesis develops three methods to perform the evaluation of European-style Asian options with a strike fixed or variable. Because no there are necessarily closed formulas for all types of Asian options, it is necessary to apply numerical methods and compare their results for determine the eficiency of them. The market model assumed is a model Basic Black-Scholes with a lognormal asset price, a risk-free rate constant and constant volatility.