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Using quadrature method to price a European call option

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Using quadrature method to price a European call option

by Wei-che Tsai

 

11 Mar 2008 (Updated 11 Mar 2008)

Pricing a European Call Option based on AWDN (2003) - Journal of Financial Economics

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Description

AWDN(2003)introduce a powerful numerical skill (QUAD) to price universal options. In this code, I just price a European call option.
MATLAB release MATLAB 7.1.0 (R14SP3)
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Comments and Ratings (2)
24 Mar 2008 chan woo jeung

it helps me out... thanks for your contribution...
01 Jul 2010 Uensal

Can you also price a european put with that ?
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Tag Activity for this File
Tag Applied By Date/Time
finance Wei-che Tsai 22 Oct 2008 09:52:54
modeling Wei-che Tsai 22 Oct 2008 09:52:54
analysis Wei-che Tsai 22 Oct 2008 09:52:54
quadrature method Wei-che Tsai 22 Oct 2008 09:52:54
european call option Wei-che Tsai 22 Oct 2008 09:52:54
pricing Wei-che Tsai 22 Oct 2008 09:52:54
numerical skill Wei-che Tsai 22 Oct 2008 09:52:54
qua Wei-che Tsai 22 Oct 2008 09:52:54

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