This program calculates the price of American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
-
Updated
Sep 6, 2017 - MATLAB
This program calculates the price of American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).
This program calculates the price of European double-barrier knock-out calls by the use of binomial trees and Monte Carlo Simulations.
This is a binomial tree program that prices European single-barrier knock-in calls on a dividend-paying stock, and also determines the relative error based on the call price using the Black-Scholes model.
This is a small program that shows how to calculate an n-year spot rate if the n-year zero-coupon bond price moves from q% to (1+k%) *q%, where q% is the quoted price.
Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
Add a description, image, and links to the bonds topic page so that developers can more easily learn about it.
To associate your repository with the bonds topic, visit your repo's landing page and select "manage topics."