Asian
instrument object
Create and price an Asian
instrument object using this
workflow:
Use fininstrument
to create an Asian
instrument object.
Use finmodel
to specify
a BlackScholes
, Heston
, Bates
, or Merton
model for
the Asian
instrument.
When using a BlackScholes
model, use finpricer
to
specify a Levy
,
KemnaVorst
, or TurnbullWakeman
pricing method for the
Asian
instrument.
When using a BlackScholes
, Heston
,
Bates
, or Merton
model, use
finpricer
to
specify an AssetMonteCarlo
pricing method for the
Asian
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for an
Asian
instrument, see Choose Instruments, Models, and Pricers.
creates an AsianOpt
= fininstrument(InstrumentType
,'Strike
',strike_price,'ExerciseDate
',exercise_date)Asian
object by specifying
InstrumentType
and sets the properties for the
required name-value pair arguments Strike
and
ExerciseDate
.
The Asian
instrument supports arithmetic and geometric
average price Asian options. Average price Asian options are also known as
fixed-strike Asian options.
sets optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, AsianOpt
= fininstrument(___,Name,Value
)AsianOpt =
fininstrument("Asian",'Strike',100,'ExerciseDate',datetime(2019,1,30),'OptionType',"put",'ExerciseStyle',"European",'Name',"asian_option")
creates an Asian
put option with an European exercise.
You can specify multiple name-value pair arguments.