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Matlab Finance Code

Asian Option – Pricing using Monte Carlo Control Variate Method

An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate

Simple option pricing GUI

This GUI accepts the various constants needed to run a Black-Scholes calculation for pricing several European options:

Put, Call, Straddle, Strangle, Bull Spread, Bear Spread, Butterfly

It plots the pricing surface for the appropriate option and then runs a number of Monte Carlo simulations (daily granularity) for that given set of parameters. It provides some useful information on the Monte Carlo simulation in graphical form.

Black and Shcoles calculator

Graphical Black and Shcoles calculator for visualizing different sensetives of vanila call and put options, stradle and butterfly as a function of underlying price and time to maturity

Shows the following sensetives:

Price of call, put, stradle and butterfly

Delta of call, put, stradle and butterfly

Gamma of call, put, stradle and butterfly

Vega of call, put, stradle and butterfly

Theta of call, put, stradle and butterfly

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