asianbycrr
Price Asian option from Cox-Ross-Rubinstein binomial tree
Syntax
Description
prices Asian options using a Cox-Ross-Rubinstein binomial tree.Price
= asianbycrr(CRRTree
,OptSpec
,Strike
,Settle
,ExerciseDates
)
Note
Alternatively, you can use the Asian
object to price Asian
options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
Examples
Input Arguments
Output Arguments
More About
References
[1] Hull, J., and A. White. “Efficient Procedures for Valuing European and American Path-Dependent Options.” Journal of Derivatives. Vol. 1, pp. 21–31.