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Pricing Basket Option

Pricing Basket Option



27 Aug 2008 (Updated )

Functions for pricing of a basket option

basketset(SPrice, Sigma, Corr, Num)
function basketstruct = basketset(SPrice, Sigma, Corr, Num)
%BASKETSET Create basket structure for pricing basket options
% SPrice - Stock price matrix
% Sigma - Volatility of each stock
% Corr - Correlation matrix
% Num - Number of each security 1 x number of securities
if (nargin<3)
     error('finderiv:basketset:InvalidInputs','function needs minimum 3 inputs')

basketstruct.SPrice = SPrice;
basketstruct.Sigma = Sigma;
basketstruct.Corr = Corr;
basketstruct.Num = Num;

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