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Pricing Basket Option 1.0

  Date Added: May 04, 2013  |  Visits: 484

Pricing Basket Option

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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

Requirements: No special requirements
Platforms: Matlab
Keyword: Asianbasketm Average Basketsetm Carlo Draws Europeanbasketm Files Function Functionstestfilem Generate Inspiration Monte Option Price Structure
Users rating: 0/10

License: Freeware Size: 10 KB
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