An Example of Markov Chain and multinominal option pricing
No License
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.
In this coursework, we discussed the speed, convergence rate and monotonicity of convergence for these methods. We also discussed whether extrapolation improves convergence.
Cite As
Ying Li (2024). An Example of Markov Chain and multinominal option pricing (https://www.mathworks.com/matlabcentral/fileexchange/19487-an-example-of-markov-chain-and-multinominal-option-pricing), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
Version | Published | Release Notes | |
---|---|---|---|
1.0.0.0 |