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asianbykv

Prices European geometric Asian options using Kemna-Vorst model

Syntax

  • Price = asianbykv(RateSpec,StockSpec,OptSpec,Strike,Settle,
    ExerciseDates)
    example

Description

example

Price = asianbykv(RateSpec,StockSpec,OptSpec,Strike,Settle,
ExerciseDates)
returns prices of European geometric Asian options using the Kemna-Vorst model.

Examples

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Compute the Price of an Asian Option Using the Kemna-Vorst Model

Define the RateSpec.

StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2014';
Rates = 0.035;
Basis = 1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates, ...
'EndDates', EndDates,'Rates', Rates,  'Compounding', -1, 'Basis', Basis)
RateSpec = 

           FinObj: 'RateSpec'
      Compounding: -1
             Disc: 0.9656
            Rates: 0.0350
         EndTimes: 1
       StartTimes: 0
         EndDates: 735600
       StartDates: 735235
    ValuationDate: 735235
            Basis: 1
     EndMonthRule: 1

Define the StockSpec for the asset.

AssetPrice = 100;
Sigma = 0.15;
DivType = 'continuous';
DivAmounts = 0.03;
StockSpec = stockspec(Sigma, AssetPrice, DivType, DivAmounts)
StockSpec = 

             FinObj: 'StockSpec'
              Sigma: 0.1500
         AssetPrice: 100
       DividendType: {'continuous'}
    DividendAmounts: 0.0300
    ExDividendDates: []

Define the Asian 'call' and 'put' options.

Strike = 102;
OptSpec = {'put'; 'call'};
Settle = 'Jan-1-2013';
Maturity = 'Apr-1-2013';

Compute the European geometric Average Price for the Asian option using the Kemna-Vorst model.

Price = asiansensbykv(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity)
Price =

    2.8881
    0.9210

Input Arguments

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RateSpec — Interest-rate term structurestructure

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

Data Types: struct

StockSpec — Stock specification for underlying assetstructure

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 optionstring with value'call' or 'put' | cell array of strings

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

Data Types: cell | char

Strike — Option strike price valuesnonnegative 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 datesnonnegative integer | vector of nonnegative integers | date string | cell array of date strings

Settlement dates or trade dates for the Asian option, specified as a date string or as nonnegative integers using a NINST-by-1 vector or cell array of dates.

Data Types: char | cell

ExerciseDates — European option exercise datesnonnegative integer | vector of nonnegative integers | date string | cell array of date strings

European option exercise dates, specified as nonnegative integers or date strings using a NINST-by-1 vector or cell array of exercise dates. For an European option, there is only one ExerciseDates on the option expiry date.

Data Types: char | cell

Output Arguments

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Price — Expected prices of an Asian optionvector

Expected prices of the Asian option, returned as an NINST-by-1 vector.

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