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How to Price Asian Options Efficiently Using MATLAB

Kawee Numpacharoen, MathWorks

You can price Asian options using MATLAB®, Financial Instruments Toolbox™, and Curve Fitting Toolbox™. You can also speed up the option pricing process by partially calculating option prices and using curve fit functions to fill in the missing values. If you prefer to use a direct calculation based on Monte Carlo simulation, you can speed up the process by using Parallel Computing Toolbox™. 

In short, you will see how flexible MATLAB is as an option pricing platform, and that there are variety of ways to use mathematical techniques or parallel computing to speed up computation of Asian options.

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