How to Price Asian Option Efficiently Using MATLAB

versión 1.0.0.0 (63.3 KB) por MathWorks Quant Team
In these files, you can learn how to speed up the simulation-based pricing like Asian options.

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Actualizada 21 Jun 2017

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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.

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MathWorks Quant Team (2022). 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. Recuperado .

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Se creó con R2017a
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