Pricing Interest Options with Negative Rates (for Video Demo)

Version 1.0.0.0 (32,6 ko) par MathWorks Quant Team
The file is designed to demonstrate how to pricing interest rate options in negative rates
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Mise à jour 30 mars 2017

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The file is designed to demonstrate how to pricing interest rate options in negative rates by comparing with the pricing model in positive rates. So users can clearly see the differences between the pricing of interest rate options in both positive and negative rates.

Citation pour cette source

MathWorks Quant Team (2024). Pricing Interest Options with Negative Rates (for Video Demo) (https://www.mathworks.com/matlabcentral/fileexchange/62050-pricing-interest-options-with-negative-rates-for-video-demo), MATLAB Central File Exchange. Extrait(e) le .

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Créé avec R2017a
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Version Publié le Notes de version
1.0.0.0