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Turnbull-Wakeman Model

Price and sensitivity for European continuous arithmetic Asian options using Turnbull-Wakeman model

The Turnbull-Wakeman model is a method used to price Asian options, which are a type of exotic option where the payoff depends on the average price of the underlying asset over a certain period, rather than the price at expiration. Price and analyze Asian option instruments using a Turnbull-Wakeman model with the following functions:

Functions

asianbytwPrice European arithmetic fixed Asian options using Turnbull-Wakeman model
asiansensbytwCalculate price and sensitivities of European fixed arithmetic Asian options using Turnbull-Wakeman model

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