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Pricing Basket Option

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Pricing Basket Option

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27 Aug 2008 (Updated )

Functions for pricing of a basket option

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Description

Function for pricing basket option using Monte Carlo Simulation. You can specify if you want an American option. For American options, it follows LMS algorithm. You can choose to specify Averaging date, Average Price, Average type etc.

asianbasket.m and europeanbasket.m are the files for pricing. basketset.m is the function to generate a structure which is used for pricing functions.
testfile.m is an example.

For LMS, it draws inspiration from the following page:
http://leippold.googlepages.com/longstaffSchwartz2a.html

Required Products Financial Toolbox
MATLAB release MATLAB 7.6 (R2008a)
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01 Sep 2008 Bhargav Shah  

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