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Turnbull-Wakeman Model

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

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

Examples and How To

  • Pricing Asian Options

    This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.

Concepts