Asian Option - Pricing using Monte Carlo Control Variate Method

Version 1.0.0.0 (9.48 KB) by Sudhanshu Chadha
Price asian option using Monte carlo control Variate
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4.2K Downloads
Updated 4 Jun 2008

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An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate

Cite As

Sudhanshu Chadha (2024). Asian Option - Pricing using Monte Carlo Control Variate Method (https://www.mathworks.com/matlabcentral/fileexchange/20145-asian-option-pricing-using-monte-carlo-control-variate-method), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14
Compatible with any release
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asian_option/

Version Published Release Notes
1.0.0.0

Enhancements - Update Documentation and minor Bug fixes