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markov-chain

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An Example of Markov Chain and multinominal option pricing. As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method…

  • Updated Jan 5, 2019
  • MATLAB

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