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Pricing Basket Option 1.0
File ID: 80691






Pricing Basket Option 1.0
Download Pricing Basket Option 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 10.0 KB
Downloads: 37
Submit Rating:
Pricing Basket Option 1.0 Description
Description: Function for pricing basket option using Monte Carlo Simulation. You can specify if you want an American option. For American options, it follows LMS algorithm. You can choose to specify Averaging date, Average Price, Average type etc.

asianbasket.m and europeanbasket.m are the files for pricing. basketset.m is the function to generate a structure which is used for pricing functions.
testfile.m is an example.

For LMS, it draws inspiration from the following page:
http://leippold.googlepages.com/longstaffSchwartz2a.html

License: Freeware

Related: Function, Generate, basketsetm, Files, asianbasketm, europeanbasketm, Structure, inspiration, draws, functionstestfilem, price, average, monte, carlo, option

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 37



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