%% Compute the Price of an Asian Option Using the Levy Model
% Define the RateSpec.

Rates = 0.07;
StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2014';
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates, 'EndDates', ...
EndDates, 'Rates', Rates, 'Compounding', -1)

%
% Define the StockSpec for the asset.

AssetPrice = 6.8;
Sigma = 0.14;
DivType = 'continuous';
DivAmounts = 0.09;
StockSpec = stockspec(Sigma, AssetPrice, DivType, DivAmounts)

%
% Define two options for 'call' and 'put'.

Settle = 'Jan-1-2013';
Maturity = 'July-1-2013';
Strike = 6.9;
OptSpec = {'call'; 'put'};

%
% Compute the European arithmetic average price for the Asian option using the Levy model.

Price= asianbylevy(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity)

% Copyright 2015 The MathWorks, Inc.