Pricing Derivatives Securities using MATLAB

Version 1.6.0.0 (330 ko) par Mayeda Reyes-Kattar
Examples of pricing derivatives securities using MATLAB
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Mise à jour 29 oct. 2010

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A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".

Highlights:
* Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation.
* Pricing exotic options using the implied trinomial tree (ITT) method
* Hedging using derivatives
* Pricing interest rate derivatives using the BDT model

Citation pour cette source

Mayeda Reyes-Kattar (2024). Pricing Derivatives Securities using MATLAB (https://www.mathworks.com/matlabcentral/fileexchange/14508-pricing-derivatives-securities-using-matlab), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2007a
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Version Publié le Notes de version
1.6.0.0

Per Leslie's request, removed most of the slides except the ones needed to explain the examples.
1.4.0.0

Converted a Powerpoint file to a pdf file.
1.2.0.0

BSD license
1.1.0.0

Added BSD license
1.0.0.0