PROJ_Option_Pricing_Matlab
Option pricing framework
Provides a general framework for option pricing in MATLAB using the PROJ method and various models
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
176 stars
6 watching
66 forks
Language: MATLAB
last commit: almost 2 years agoLinked from 1 awesome list
american-optionsasian-optionbarrier-optionbermudan-optionblack-scholesderivativeseuropean-optionsfourier-transformheston-modeljump-diffusionlevy-processeslookback-optionmonte-carlooption-pricingoptionsquant-financequantitative-financesabrstochastic-volatility-modelsvariance-swap
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