Price European or American Asian options using Monte Carlo simulations
returns fixed- and floating-strike Asian option prices using the Longstaff-Schwartz
model. Price
= asianbyls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
)asianbyls
computes prices of European and American Asian
options.
For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
To compute the value of a floating-strike Asian option, Strike
should be specified as NaN
. Fixed-strike Asian options are also known
as average price options and floating-strike Asian options are also known as average
strike options.
adds
optional name-value pair arguments. Price
= asianbyls(___,Name,Value
)
[
adds
optional name-value pair arguments. Price
,Paths
,Times
,Z
]
= asianbyls(___,Name,Value
)
asianbycrr
| asianbykv
| asianbylevy
| asiansensbyls
| intenvset
| stockspec