Code covered by the BSD License  

Highlights from
Approaches to implementing Monte Carlo methods in MATLAB

image thumbnail

Approaches to implementing Monte Carlo methods in MATLAB

by

 

28 Sep 2011 (Updated )

Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm

Readme.m
% The following files are MATLAB scripts that go with the article
% "Approaches to implementing Monte Carlo methods in MATLAB" written by
% Sri Krishnamurthy,CFA and Jorge Paloschi,PHD of MathWorks Consulting 
% Services in the September 2011 article of Wilmott Magazine
% (http://www.wilmott.com/magazine.cfm)
% 
% Copyright 2011 MathWorks, Inc.
% 
% PriceArithmeticAsianOption.m : Script to price an American Asian Option

% PriceArithmeticAsianOptionFin.m : Script to price an American Asian 
% Option using the Financial toolbox functions

% PriceArithmeticAsianOptionPCT.m : Script to price an American Asian 
% Option using PCT 

% PriceArithmeticAsianOptionQuasi.m : Script to price an American Asian 
% Option using Quasi Random Number generators

% PriceArithmeticAsianOptionSDE.m : Script to price an American Asian 
% Option using SDE objects

% PriceArithmeticAsianOptionSDEAntiThetic.m : Script to price an American 
% Asian Option using SDE objects and Antithetic sampling

% PriceArithmeticAsianOptionSDESolution.m : Script to price an American 
% Asian Option using SDE objects and SimBySolution method

% PriceArithmeticAsianOptionSDEZ.m : Script to price an American Asian 
% Option using SDE objects and Z parameter

% PriceArithmeticAsianOptionV.m : Script to price an American Asian 
% Option (Vectorized version)

% TimingScriptQuasi.m : Script to test the performance of pricing an 
% American Asian Option using Quasi Random Number generators

% TimingScriptSDE.m : Script to test the performance of pricing an 
% American Asian Option using SDE objects

% TimingScriptComparison.m :  Script to compare the performance of 
% pricing an American Asian Option
% 

Contact us