The AsianSpreadMC function calculates the theoretical price of a European twoasset Asian spread option using a Monte Carlo technique. See Asian Options for a further explanation.
AsianSpreadMC 
(OptionType, Asset1, Asset2, Strike, TimeExpire, Volatility1, Volatility2, InterestRate, YieldRate1, YieldRate2, Correlation, NumSteps, Iterations, TimeFormat, InterestType, YieldRate1Type, YieldRate2Type) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
Asset1 
The price of the first underlying asset. Must be > 0. 
Asset2 
The price of the second underlying asset. Must be > 0. 
Strike 
The price at which the asset can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0. 
Volatility1 
Annualized volatility of the first underlying security. Must be > 0. 
Volatility2 
Annualized volatility of the second underlying security. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
YieldRate1 
Yield, expressed as a percentage (dividends or interest yield), of the first underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldRate1Type argument. 
YieldRate2 
Yield, expressed as a percentage (dividends or interest yield), of the second underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldRate2Type argument. 
Correlation 
The correlation between the first underlying asset price and the second underlying asset price. Must be 1 < Correlation < 1. 
NumSteps 
The number of steps per simulation (or samples per day). Must be between 1 and 1000. 
Iterations 
The number of Monte Carlo simulations or trials. Must be between 1and 5000. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
InterestType 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
YieldRate1Type 
Optional. Alphanumeric value indicating the type of YieldRate1 to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
YieldRate2Type 
Optional. Alphanumeric value indicating the type of YieldRate2 to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Example
Using Monte Carlo Simulation, calculate the Theoretical value of a TwoAsset Asian spread option call option where the option is 225 days from expiration, the first asset price is $25.50, the second asset price is $26, the exercise price is $3.25, the riskfree interest rate is 8% per annum, the yield rate of the first asset is 6% per annum, the yield rate of the second asset is 4% per annum, the annual volatility of the first asset is 20%, the annual volatility of the second asset is 25%, and the correlation is 0.5. The number of simulation is 100 and the number of simulations per day is 100. All rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function Name 
Value 
Asset1 
25.5 

Theoretical: 
0.06246 
Asset2 
26 



Strike 
3.25 



TimeExpire 
225 



Volatility1 
20% 



Volatility2 
25% 



InterestRate 
8% 



YieldRate1 
6% 



YieldRate2 
4% 



Correlation 
0.5 



NumSteps 
100 



Iterations 
100 



TimeFormat 
Days 


