Asian call option matlab
Asian Option - Pricing using Monte Carlo Control Variate Method - File Exchange - MATLAB Central
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This example shows how to price a floating-strike Asian option using a CRR binomial tree using the file deriv. The CRRTree structure contains the stock specification and time information needed to price the option. Definition of option, specified as 'call' or 'put' using a character vector or a cell array of character vectors.
Option strike price value, specified with a nonnegative integer using a NINST -by- 1 matrix of strike price values. To compute the value of a floating-strike Asian option, Strike must be specified as NaN. Floating-strike Asian options are also known as average strike options. Settlement date or trade date for the Asian option, specified as a NINST -by- 1 matrix of settlement or trade dates using serial date numbers or date character vectors.
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The Settle date for every Asian option is set to the ValuationDate of the stock tree. The Asian argument, Settleis ignored. For a European option, use a NINST -by- 1 matrix of exercise dates.
Each row is the schedule for one option. For a European option, there is only one ExerciseDates on the option expiry date. For an American option, use a NINST -by- 2 vector of exercise date boundaries. The option can be exercised on any tree date between or including the pair of dates on that row. If only one non- NaN date is listed, or if ExerciseDates is a NINST -by- 1 vector, the option can be exercised between ValuationDate of the stock tree and the single listed ExerciseDates.
Optional Option type, specified as NINST -by- 1 positive integer flags with values:. Average types, specified as arithmetic for arithmetic average, or geometric for geometric average. Average price of underlying asset at Settlespecified as a scalar. Expected prices for Asian options at time 0, returned as a NINST -by- 1 vector. Pricing of Asian options is done using Hull-White asian call option matlab Therefore, for these options there are no unique prices on the tree nodes except for the root node.
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Examples how to make money with opm all Price a Floating-Strike Asian Option Using asian call option matlab CRR Binomial Tree.
Input Arguments collapse all CRRTree — Stock tree structure structure.
Stock tree structure, specified by using crrtree. OptSpec — Definition of option character vector with value 'call' or 'put' cell array of character vectors with values 'call' or 'put'. Strike — Option strike price value matrix of nonnegative integers. Settle — Settlement date or trade date serial date number date character vector.
ExerciseDates — Option exercise dates serial date number date character vector. Option exercise dates, specified as a serial date number or date character vector: AmericanOpt — Option type 0 European default integer with values 0 or 1. Optional Option type, specified as NINST -by- 1 positive integer flags with values: AvgType — Average types arithmetic default character vector with values of arithmetic or geometric.
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AvgPrice — Average price of underlying asset at Settle scalar. AvgDate — Date averaging period begins scalar. Date averaging period begins, specified as a scalar. Output Arguments collapse all Price — Expected prices for Asian options at time 0 vector. See Also crrtree instasian Topics Pricing Asian Options Graphical Representation of Equity Derivative Trees Asian Option Supported Equity Derivatives.
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