Derivatives Pricing
From LiteratePrograms
Asian Options Pricing
Here is the Matlab implementation of the pricing of Asian options from the paper Unified Asian Pricing by Jan Vecer (2002), Risk, Vol. 15, No. 6, 113-116 .
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Here is the Matlab implementation of the pricing of Asian options from the paper Unified Asian Pricing by Jan Vecer (2002), Risk, Vol. 15, No. 6, 113-116 .
| Download code |