www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceofanAsianOptionUsingtheLevyModelExample.m
%% Compute the Price 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 |'call'| and |'put'|. Settle = 'Jan-1-2013'; Maturity = 'July-1-2013'; Strike = 6.9; OptSpec = {'call'; 'put'}; %% % Compute the European arithmetic average price for the Asian option using % the Levy model. Price= asianbylevy(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity)