www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceandSensitivitiesofanAsianOptionUsingtheLeExample.m
%% Compute the Price and Sensitivities of an Asian Option Using the Levy Model % Copyright 2015 The MathWorks, Inc. %% % Define the |RateSpec|. Rates = 0.07; StartDates = 'Jan-1-2013'; EndDates = 'Jan-1-2014'; RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates, 'EndDates', ... EndDates, 'Rates', Rates, 'Compounding', -1) %% % Define the |StockSpec| for the asset. AssetPrice = 6.8; Sigma = 0.14; DivType = 'continuous'; DivAmounts = 0.09; StockSpec = stockspec(Sigma, AssetPrice, DivType, DivAmounts) %% % Define two options for a |'call'| and |'put'|. Settle = 'Jan-1-2013'; ExerciseDates = 'Jan-1-2014'; Strike = 6.9; OptSpec = {'call'; 'put'}; %% % Compute the European arithmetic average price and sensitivities for the % Asian option using the Levy model. OutSpec = {'Price', 'Delta', 'Gamma'}; PriceSens = asiansensbylevy(RateSpec, StockSpec, OptSpec, Strike,... Settle, ExerciseDates,'OutSpec', OutSpec)