NINST-by-1 vector
of strike price values. Each row is the schedule for one option.

Settle

NINST-by-1 vector
of Settle dates. The settle date for every Asian
option is set to the valuation date of the stock tree. The Asian argument Settle is
ignored.

ExerciseDates

For a European option (AmericanOpt = 0):

NINST-by-1 vector
of exercise dates. Each row is the schedule for one option. For a
European option, there is only one exercise date, the option expiry
date.

For an American option (AmericanOpt =
1):

NINST-by-2 vector
of exercise date boundaries. For each instrument, the option can be
exercised on any tree date between or including the pair of dates
on that row. If only one non-NaN date is listed,
or if ExerciseDates is NINST-by-1,
the option can be exercised between the valuation date of the stock
tree and the single listed exercise date.

AmericanOpt

(Optional) If AmericanOpt = 0, NaN,
or is unspecified, the option is a European option. If AmericanOpt
= 1, the option is an American option.

AvgType

(Optional) String = 'arithmetic' for
arithmetic average (default) or 'geometric' for
geometric average.

AvgPrice

(Optional) Scalar representing the average price of the
underlying asset at Settle. This argument is used
when AvgDate < Settle.
Default is the current stock price.

AvgDate

(Optional) Scalar representing the date on which the
averaging period begins. Default = Settle.

Description

Price = asianbycrr(CRRTree, OptSpec,
Strike, Settle, ExerciseDates, AmericanOpt, AvgType,
AvgPrice, AvgDate) calculates the value of fixed- and
floating-strike Asian options. To compute the value of a floating-strike
Asian option, specify Strike as NaN.
Fixed-strike Asian options are
also known as average price options. Floating-strike
Asian options are also known as average
strike options.

Price is a NINST-by-1 vector
of expected prices at time 0.

Asian options are priced using Hull-White (1993). Consequently,
for these options only the root node contains a unique price.

This example shows how to price a floating-strike Asian option using a CRR binomial tree using the file deriv.mat, which provides CRRTree. The CRRTree structure contains the stock specification and time information needed to price the option.