Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Kemna Vorst Model

Price and sensitivity for European geometric Asian options using Kemna Vorst model

Functions

asianbykv Prices European geometric Asian options using Kemna-Vorst model
asiansensbykv Calculate prices or sensitivities of European geometric Asian options using Kemna-Vorst model

Examples and How To

Pricing Asian Options

This example shows how to price a European Asian option using four methods in the Financial Instruments Toolbox™.

Concepts

Asian Option

An Asian option is a path-dependent option with a payoff linked to the average value of the underlying asset during the life of the option.

Was this topic helpful?