Kemna Vorst Model

Price and sensitivity for European geometric Asian options using Kemna Vorst model

Functions

asianbykv Prices European geometric Asian options using Kemna-Vorst model
asiansensbykv Calculate prices or sensitivities of European geometric Asian options using Kemna-Vorst model

Examples and How To

Pricing Asian Options

This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.