Asian Options Valuation: Comparison of Analytical Methods and Monte Carlo Simulation

The present work calculates the valuation of Asian options of the European type, using the Turnbull and Wakeman Approximation, the Levy approximation; as well as Monte Carlo simulation. The aim is to determine the efficiency of these techniques and compare the results obtained. The results indicate that analytical approaches offer a viable alternative to numerical methods, providing faster and more efficient calculations; Furthermore, the relevance of Monte Carlo simulation techniques is highlighted, which, although more complex, allow greater flexibility in the valuation of options with more complicated structures. One of the novelties of this work is the integration of different theoretical and practical approaches for the valuation of Asian options, which contributes to a better understanding of their operation and application in the financial field.