Pricing Basket Option
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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
Cite As
Abhishek Bharadwaj (2024). Pricing Basket Option (https://www.mathworks.com/matlabcentral/fileexchange/21243-pricing-basket-option), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Toolbox > Price and Analyze Financial Instruments >
- Computational Finance > Financial Toolbox > Stochastic Differential Equation (SDE) Models >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
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Version | Published | Release Notes | |
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1.0.0.0 |