Documentation

asianbylevy

Price of European arithmetic Asian options using Levy model

Syntax

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

Description

example

Price = asianbylevy(RateSpec,StockSpec,OptSpec,Strike,Settle,
ExerciseDates)
returns European arithmetic average pricing for Asian options using the Levy model.

Examples

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Compute the Price of an Asian Option Using the Levy Model

Define the RateSpec.

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

           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 = 

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

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

Settle = 'Jan-1-2013';
Maturity = 'July-1-2013';
Strike = 6.9;
OptSpec = {'call'; 'put'};

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

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

    0.0944
    0.2237

Related Examples

Input Arguments

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RateSpec — Interest-rate term structurestructure

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 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 optioncharacter 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 valuesnonnegative integer | vector of nonnegative integers

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

Data Types: single | double

Settle — Settlement dates or trade datesnonnegative integer | vector of nonnegative integers | date character vector | cell array of character vectors

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

Data Types: double | char | cell

ExerciseDates — Option exercise datesnonnegative integer | vector of nonnegative integers | date character vector | cell array of character vectors

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

Data Types: double | char | cell

Output Arguments

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Price — Expected prices of Asian optionvector

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

Introduced in R2013b

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