BLOGS. July 29, 2022
Valuation of Asian Spread Options and How to Measure Them
Mark-to-market pricing of financial instruments plays an important role in managing risk. Asset managers and other industry practitioners depend on accurate valuations of financial instruments to assess the impact of risk factor changes on their portfolios. But the ability to accurately calculate exposures is challenged by highly dynamic, frequently fluctuating markets. Market standard valuation techniques such as Monte Carlo aren’t always efficient for such assets. Certain derivative instruments, such as Asian spread options, are a case in point. These instruments require a more robust valuation approach.
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