Meridian Asian Options Solution
Meridian Asian Options Solution
Visit the Mathema Options Pricing System for foreign exchange options and structured product pricing and valuation!
In May 2022, the China Foreign Exchange Trade System (CFETS) officially launched Asian options trading. Meridian provides financial institutions with an Excel-based solution to address the impact of this new product on their business operations.
Asian Options Pricing
The option parameters align with the transaction details provided by CFETS.
Key Features:
Market Data Integration:
- Connect to Bloomberg Terminal or Reuters Eikon to access volatility data.
- Construct a market volatility surface to calculate implied volatilities for different tenors and strike prices.
Pricing Models:
- Black-Scholes Model: For geometric average options.
- Monte Carlo Simulation: For arithmetic average options and complex scenarios.
Asian Options Valuation
For in-life Asian options, the system generates a fixing schedule and automatically populates fixing dates with market data from Bloomberg or Reuters. It calculates the cumulative average price and provides accurate valuations based on the current average price and original option terms.
Solution Highlights
Easy Deployment:
- Runs directly on traders' desktops.
- No complex infrastructure required.
Seamless Integration:
- Directly connects to Reuters Eikon or Bloomberg Terminal for real-time market data and volatility surfaces.
Flexibility:
- Customizable Excel templates and reports to meet specific business needs.
Background on Asian Options
For more information on Asian options, refer to:
Get Started
To learn more about the solution, contact:
- Email: market@meridian.com.cn
Try it out for free: