You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
The MCSpreadOption function can be used for valuation of spread options Spread options are actively traded on New York Mercantile Exchange (NYMEX) on the difference/spread between different oil qualities. Spread options are also popular in many other markets.
Tested under MATLAB 5.3 on Windows 98
Cite As
Espen Haug (2026). MCSpreadOption.m (https://www.mathworks.com/matlabcentral/fileexchange/82-mcspreadoption-m), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Stochastic Differential Equation (SDE) Models in Help Center and MATLAB Answers
General Information
- Version 1.0.0.0 (1.31 KB)
-
No License
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
