www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/FloatingStrikeAsianOptionCRRBinomialExample.m
%% Price a Floating-Strike Asian Option Using a CRR Binomial Tree % This example shows how to price a floating-strike Asian option using a % CRR binomial tree using the file deriv.mat, which provides CRRTree. The % CRRTree structure contains the stock specification and time information % needed to price the option. %% % Copyright 2015 The MathWorks, Inc. load deriv.mat; OptSpec = 'put'; Strike = NaN; Settle = '01-Jan-2003'; ExerciseDates = '01-Jan-2004'; Price = asianbycrr(CRRTree, OptSpec, Strike, Settle, ... ExerciseDates)