asiansensbyls
Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations
Syntax
Description
returns Asian option prices or sensitivities for fixed- and floating-strike Asian options
using the Longstaff-Schwartz model. PriceSens
= asiansensbyls(RateSpec
,StockSpec
,OptSpec
,Strike
Settle
,ExerciseDates
)asiansensbyls
supports European and
American Asian options.
For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
To compute the value of a floating-strike Asian option, Strike
should be specified as NaN
. Fixed-strike Asian options are also known
as average price options and floating-strike Asian options are also known as average
strike options.
returns Asian option prices or sensitivities for fixed- and floating-strike Asian options
using optional name-value pair arguments and the Longstaff-Schwartz model. PriceSens
= asiansensbyls(___,Name,Value
)
[
returns Asian option prices or sensitivities (PriceSens
,Path
,Times
,Z
]
= asiansensbyls(___,Name,Value
)PriceSens
,
Path
, Times
, and Z
) for fixed-
and floating-strike Asian options using optional name-value pair arguments and the
Longstaff-Schwartz model.