Turnbull-Wakeman Model
Price and sensitivity for European continuous arithmetic Asian
options using Turnbull-Wakeman model
Functions
asianbytw | Price European arithmetic fixed Asian options using Turnbull-Wakeman model |
asiansensbytw | Calculate price and sensitivities of European fixed arithmetic Asian options using Turnbull-Wakeman model |
Examples and How To
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
Concepts
Equity derivative instruments supported by Financial Instruments Toolbox™.
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