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
asianbyhhm | Price European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe model |
asiansensbyhhm | Calculate price and sensitivities of European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe 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™.
