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 |
Topics
- Pricing Asian Options
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
