asiansensbylevy

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

Syntax

PriceSens = asiansensbylevy(RateSpec,StockSpec,OptSpec,StrikeSettle,ExerciseDates)

PriceSens = asiansensbylevy(___,Name,Value)

Description

PriceSens = asiansensbylevy(RateSpec,StockSpec,OptSpec,StrikeSettle,ExerciseDates) returns European average pricing or sensitivities for arithmetic Asian options using the Levy model.

Note

Alternatively, you can use the Asian object to calculate prices or sensitivities for Asian options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

PriceSens = asiansensbylevy(___,Name,Value) adds optional name-value pair arguments.

Examples

Compute the Price and Sensitivities of an Asian Option Using the Levy Model

Define the RateSpec.

Rates = 0.07;
StartDates = datetime(2013,1,1);
EndDates = datetime(2014,1,1);
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates, 'EndDates', ...
EndDates, 'Rates', Rates, 'Compounding', -1)

RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: -1
             Disc: 0.9324
            Rates: 0.0700
         EndTimes: 1
       StartTimes: 0
         EndDates: 735600
       StartDates: 735235
    ValuationDate: 735235
            Basis: 0
     EndMonthRule: 1

Define the StockSpec for the asset.

AssetPrice = 6.8;
Sigma = 0.14;
DivType = 'continuous';
DivAmounts = 0.09;
StockSpec = stockspec(Sigma, AssetPrice, DivType, DivAmounts)

StockSpec = struct with fields:
             FinObj: 'StockSpec'
              Sigma: 0.1400
         AssetPrice: 6.8000
       DividendType: {'continuous'}
    DividendAmounts: 0.0900
    ExDividendDates: []

Define two options for a 'call' and 'put'.

Settle = datetime(2013,1,1);
ExerciseDates = datetime(2014,1,1);
Strike = 6.9;
OptSpec = {'call'; 'put'};

Compute the European arithmetic average price and sensitivities for the Asian option using the Levy model.

OutSpec = {'Price', 'Delta', 'Gamma'};
PriceSens = asiansensbylevy(RateSpec, StockSpec, OptSpec, Strike,...
Settle, ExerciseDates,'OutSpec', OutSpec)

PriceSens = 2×1

    0.1358
    0.2921

Input Arguments

RateSpec — Interest-rate term structure

structure

Interest-rate term structure (annualized and continuously compounded), specified by the RateSpec obtained from intenvset. For information on the interest-rate specification, see intenvset.

Data Types: struct

StockSpec — Stock specification for underlying asset

structure

Stock specification for underlying asset, specified using StockSpec obtained from stockspec. For information on the stock specification, see stockspec.

stockspec can handle other types of underlying assets. For example, stocks, stock indices, and commodities. If dividends are not specified in StockSpec, dividends are assumed to be 0.

Data Types: struct

OptSpec — Definition of option

character vector with values 'call' or 'put' | cell array of character vectors

Definition of option, specified as 'call' or 'put' using a NINST-by-1 cell array of character vectors.

Data Types: char | cell

Strike — Option strike price values

nonnegative integer | vector of nonnegative integers

Option strike price values, specified with nonnegative integers using a NINST-by-1 vector.

Data Types: single | double

Settle — Settlement dates or trade dates

datetime array | string array | date character vector

Settlement dates or trade dates for the Asian option, specified as a NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, asiansensbylevy also accepts serial date numbers as inputs, but they are not recommended.

ExerciseDates — Option exercise dates

datetime array | string array | date character vector

Option exercise dates, specified as a NINST-by-1 vector using a datetime array, string array, or date character vectors. For a European option, there is only one ExerciseDates on the option expiry date.

To support existing code, asiansensbylevy also accepts serial date numbers as inputs, but they are not recommended.

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: PriceSens = asiansensbylevy(RateSpec,StockSpec,OptSpec,Strike,Settle,ExerciseDates,'OutSpec',{'All'})

OutSpec — Define outputs

{'Price'} (default) | character vector with values: 'Price', 'Delta', 'Gamma', 'Vega', 'Lambda', 'Rho', 'Theta', and 'All'. | cell array of character vectors with values 'Price', 'Delta', 'Gamma', 'Vega', 'Lambda', 'Rho', 'Theta', and 'All'

Define outputs, specified as the comma-separated pair consisting of 'OutSpec' and a NOUT- by-1 or 1-by-NOUT cell array of character vectors with possible values of 'Price', 'Delta', 'Gamma', 'Vega', 'Lambda', 'Rho', 'Theta', and 'All'.

OutSpec = {'All'} specifies that the output should be Delta, Gamma, Vega, Lambda, Rho, Theta, and Price, in that order. This is the same as specifying OutSpec to include each sensitivity:

Example: OutSpec = {'delta','gamma','vega','lambda','rho','theta','price'}

Data Types: char | cell

Output Arguments

PriceSens — Expected prices or sensitivities of Asian option

vector

Expected prices or sensitivities (defined by OutSpec) of the Asian option, returned as an 1-by-1 vector. If the OutSpec is not specified only the price is returned.

More About

Asian Option

An Asian option is a path-dependent option with a payoff linked to the average value of the underlying asset during the life (or some part of the life) of the option.

Asian options are similar to lookback options in that there are two types of Asian options: fixed (average price option) and floating (average strike option). Fixed Asian options have a specified strike, while floating Asian options have a strike equal to the average value of the underlying asset over the life of the option. For more information, see Asian Option.

Version History

Introduced in R2013b

R2022b: Serial date numbers not recommended

Although asiansensbylevy supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.