Put option pricing (plain vanilla)

Versione 1.0.0.0 (5 KB) da Wilmer Henao
Calculation of plain vanilla option price using explicit, implicit and crank nicolson schemes.
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3,5K download
Aggiornato 9 mar 2005

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This set of m-files was done only with didactic purposes in mind, it could be used as a calculator, but its main intention is to show how the price of a plain vanilla put option evolves through time; showing the video of the evolution as well as the 3-D surface. (In case you want speed, just get rid of the videos and don't use the for loop). explicit, implicit and Crank-Nicolson schemes can be compared.

Cita come

Wilmer Henao (2024). Put option pricing (plain vanilla) (https://www.mathworks.com/matlabcentral/fileexchange/7072-put-option-pricing-plain-vanilla), MATLAB Central File Exchange. Recuperato .

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Versione Pubblicato Note della release
1.0.0.0