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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.