Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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Updated
Jun 26, 2023 - MATLAB
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Using Finite Element and Finite Difference Methods to Price European Options
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).
European option price and greeks graphs in Black-Scholes model using Matlab.
MonteCarlo and Quasi-MonteCarlo methods for the valuations of spread and lookback finantial options.
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