Asian Arithmetic Option Delta

Version 1.0.0.0 (5.02 KB) by Anna Borisova
Pricing of Arithmetic Asian Option
4.0
(1)
170 Downloads
Updated 24 Apr 2015

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The code is developed to calculate the Price of Asian Arithmetic Option, design the paths (since Monte Carlo method has been used), compute the delta of the option (using pathwise method), determine computational time.

Cite As

Anna Borisova (2026). Asian Arithmetic Option Delta (https://se.mathworks.com/matlabcentral/fileexchange/50614-asian-arithmetic-option-delta), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2013b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0