File Exchange

image thumbnail

Asian Option - Pricing using Monte Carlo Control Variate Method

version 1.0 (9.48 KB) by

Price asian option using Monte carlo control Variate

13 Downloads

Updated

No License

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

Comments and Ratings (2)

Neer Nitzshe

good! easy to understand code

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.

MATLAB Release
MATLAB 7 (R14)

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video