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Haug, Haug, Margrabe Model

Price and sensitivity for European discrete arithmetic fixed Asian options using Huag, Haug, Magrabe model

The Haug, Haug, and Margrabe model is used for pricing exotic options that might involve multiple underlying assets, path dependencies, or other features not captured by simpler models. Price and analyze Asian option instruments using a Haug, Haug, Margrabe model with the following functions:

Functions

asianbyhhmPrice European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe model
asiansensbyhhmCalculate price and sensitivities of European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe model

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