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Asian Option - Pricing using Monte Carlo Control Variate Method

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Asian Option - Pricing using Monte Carlo Control Variate Method

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01 Jun 2008 (Updated )

Price asian option using Monte carlo control Variate

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Description

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

Required Products Financial Toolbox
MATLAB release MATLAB 7 (R14)
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Comments and Ratings (2)
04 Jun 2008 Neer Nitzshe

good! easy to understand code

02 Jun 2008 Dimitri Shvorob

I don't expect quality from a bit of code that starts with 'Montecarlo control variate
vanilla controlled by stockprice'. Does it even run? asiancall_mc_cv.m calls function 'BS_European_Call', which I don't find anywhere.

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