Documentation |
Price European or American Asian option using Longstaff-Schwartz model
Price = asianbyls(RateSpec,StockSpec,OptSpec,Strike,Settle,
ExerciseDates) returns fixed-
and floating-strike Asian option prices using the Longstaff-Schwartz
model. asianbyls computes prices of European and
American Asian options. For American options, the Longstaff-Schwartz
least squares method is used to calculate the early exercise premium.
To compute the value of a floating-strike Asian option, Strike should
be specified as NaN. Fixed-strike Asian options
are also known as average price options and floating-strike Asian
options are also known as average strike options.
Price = asianbyls(___,Name,Value) returns fixed- and floating-strike Asian option prices using optional name-value pair arguments and the Longstaff-Schwartz model. asianbyls computes prices of European and American Asian options. For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium. To compute the value of a floating-strike Asian option, Strike should be specified as NaN. Fixed-strike Asian options are also known as average price options and floating-strike Asian options are also known as average strike options.
[Price,Paths,Times,Z]
= asianbyls(RateSpec,StockSpec,OptSpec,Strike,Settle,
ExerciseDates) returns
fixed- and floating-strike Asian option Price, Paths, Times,
and Z values using the Longstaff-Schwartz model. asianbyls computes
prices of European and American Asian options. For American options,
the Longstaff-Schwartz least squares method is used to calculate the
early exercise premium. To compute the value of a floating-strike
Asian option, Strike should be specified as NaN.
Fixed-strike Asian options are also known as average price options
and floating-strike Asian options are also known as average strike
options.
[Price,Paths,Times,Z] = asianbyls(___,Name,Value) returns fixed and floating strike Asian option Price, Paths, Times, and Z values using optional name-value pair arguments and the Longstaff-Schwartz model. asianbyls computes prices of European and American Asian options. For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium. To compute the value of a floating-strike Asian option, Strike should be specified as NaN. Fixed-strike Asian options are also known as average price options and floating-strike Asian options are also known as average strike options.
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