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Levy Model

Price and sensitivity for European arithmetic Asian options using the Levy model

Functions

asianbylevy Price of European arithmetic Asian options using Levy model
asiansensbylevy Calculate prices or sensitivities of European arithmetic Asian options using Levy 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.

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