Kemna Vorst Model
Price and sensitivity for European geometric Asian options
using Kemna Vorst model
The Kemna-Vorst model is a framework for pricing Asian options, which are a type of exotic option where the payoff depends on the average price of the underlying asset over a certain period, rather than the price at a single point in time. Price and analyze Asian option instruments using a Kemna Vorst model with the following functions:
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 |
Topics
- Pricing Asian Options
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
