Using quadrature method to price a European call option

Version 1.0.0.0 (1.07 KB) by Wei-che Tsai
Pricing a European Call Option based on AWDN (2003) - Journal of Financial Economics
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Updated 11 Mar 2008

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AWDN(2003)introduce a powerful numerical skill (QUAD) to price universal options. In this code, I just price a European call option.

Cite As

Wei-che Tsai (2024). Using quadrature method to price a European call option (https://www.mathworks.com/matlabcentral/fileexchange/19153-using-quadrature-method-to-price-a-european-call-option), MATLAB Central File Exchange. Retrieved .

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Created with R14SP3
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Version Published Release Notes
1.0.0.0