How to Price Asian Option Efficiently Using MATLAB

Versione 1.0.0.0 (63,3 KB) da MathWorks Quant Team
In these files, you can learn how to speed up the simulation-based pricing like Asian options.
0.0
(0)
308 download
Aggiornato 21 giu 2017

Visualizza la licenza

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.

Cita come

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. Recuperato .

Compatibilità della release di MATLAB
Creato con R2017a
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Versione Pubblicato Note della release
1.0.0.0