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Levy Model

Price and sensitivity for European arithmetic Asian options using the Levy model

The Levy model for pricing Asian options is an approach that utilizes the concept of Lévy processes, which are stochastic processes with stationary and independent increments. Price and analyze Asian option instruments using a Levy model with the following functions:

Functions

asianbylevy Price of European arithmetic Asian options using Levy model
asiansensbylevy Calculate prices or sensitivities of European arithmetic Asian options using Levy model

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