MCSpreadOption.m 1.0

Date Added: July 26, 2013 | Visits: 333

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The MCSpreadOption function can be used for valuation of spread options Spread options are actively traded on New York Mercantile Exchange (NYMEX) on the difference/spread between different oil qualities. Spread options are also popular in many other markets. Tested under MATLAB 5.3 on Windows 98

Requirements: No special requirements

Platforms: Matlab

Keyword: Actively, Differencespread, Exchange, Function, Markets, Matlab, Mercantile, Nymex, Options, Popular, Qualities, Spread, Tested, Valuation, Windows

Users rating: 0/10

License: Shareware

Size: 10 KB

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