How to Price Asian Option Efficiently Using MATLAB
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. Récupéré le .
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- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
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