Pricing Asian Options - MATLAB & Simulink Example - asian option model

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asian option model


An Asian option (or average value option) is a special type of option contract. For Asian options . Asian options can still be solved. For the arithmetic Asian option in Lévy models one can rely on numerical methods or on analytic bounds.

An Asian option is an option type where the payoff depends on the average price of the underlying asset over a certain period of time as.

You can price the previous options by option using the CRR lattice model.