How to Price Asian Option Efficiently Using MATLAB

Version 1.0.0.0 (63,3 ko) par MathWorks Quant Team
In these files, you can learn how to speed up the simulation-based pricing like Asian options.
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Mise à jour 21 juin 2017

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You can price Asian options using MATLAB®, Financial Instruments Toolbox™, and Curve Fitting Toolbox™. You can also speed up the option pricing process by partially calculating option prices and using curvefit functions to fill in the missing values. If you prefer to use a direct calculation based on Monte Carlo simulation, you can speed up the process by using Parallel Computing Toolbox™.
In short, you will see how flexible MATLAB is as an option pricing platform, and that there are a variety of ways to use mathematical techniques or parallel computing to speed up the computation of Asian options.

Citation pour cette source

MathWorks Quant Team (2024). How to Price Asian Option Efficiently Using MATLAB (https://www.mathworks.com/matlabcentral/fileexchange/63334-how-to-price-asian-option-efficiently-using-matlab), MATLAB Central File Exchange. Extrait(e) le .

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Version Publié le Notes de version
1.0.0.0