In this paper, we investigate three methods for computing price sensitivities (or greeks) of an Asian option, namely, finite difference methods, a likelihood ratio method, and a pathwise method and we analyze the outputs. The efficiency of results is evaluated by means of Monte Carlo with and without, variance reduction technique.

In this paper, we use the Monte Carlo simulation (MC) to calculate delta of an Asian option. Where delta measures the rate of change of option value (V) with respect to changes in the underlying asset's price (S): ∆ = ∂V ∂S. A. Moussi et al. Moreover, we use the quadratic congruential pseudorandom numbers generator, which have the following form: X n+1 = (aX 2 n + bX n + c) mod m, in order to evaluate its performance. We also compare results with two other chosen congruential generators.