Serving the Quantitative Finance Community

matlab: asian options

Post Reply
 
User avatar
ptr
Topic Author
Posts: 0
Joined: May 15th, 2002, 2:02 pm

matlab: asian options

May 15th, 2002, 8:13 pm

Hi,I'm looking for a code for pricing Asian options using a finite difference scheme. Can you help me?
Top
 
User avatar
plessas
Posts: 2
Joined: March 9th, 2002, 10:23 pm

matlab: asian options

May 16th, 2002, 10:17 pm

Hi ptr,I think there is some code on Asians pricing with MC here!I am not sure about finite difference method though.rgds,Dimitris
Top
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | About | Contact us