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updated 19 days ago

parseParameters by Jeffrey Chiou

Parameter name-value pair parsing - concise syntax, no assignin, and very fast. (parse, parametervalue, namevalue)

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updated 4 months ago

Get Yahoo Option Chain by petar radkov

petar radkov (view profile)

Scraping options chain prices from finance yahooo (option, option chain, option price)

GetYahooOptionChain( ticker, ExpDate, typeOutData )

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updated 4 months ago

Lattice Methods for Option Pricing by Bowei Chen

Lattice Methods/Recombining Tree Methods for Option Pricing (derivative, option pricing, binomial tree)

rgb.m

priceOptionTrinKR.m

priceOptionTrinBoyle.m

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updated 6 months ago

FQuantToolBox V1.3[NoHistData] byLY_faruto by faruto

faruto (view profile)

FQuantToolBox: A Data and Backtesting Quant Tool Box based on MATLAB by faruto. (quant, stock, trade)

GetIndexList_Web.m

GetIndexTSDay_Web.m

GetStockList_Web.m

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updated almost 3 years ago

Graphically explore the Black-Scholes-Merton Option Pricing Model by Ameya Deoras

Ameya Deoras (view profile)

Visualize option price & gradient surfaces (black scholes, option, gui)

Black-Scholes-Merton Option Pricing

priceOption(S0,K,r,T,sigma)

blsOptionPricer

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updated almost 4 years ago

Option Specifications and Permutations by Eric Cousineau

A simple way to use structured option structures in functions and produce permutations. (option, management, permutation)

exampleOverlay(optsIn)

optOverlay(opts, optsIn, recurseStructs)

optPermute(optVars)

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updated almost 5 years ago

Black-Scholes Call and Implied Vol functions by Hemingway

Hemingway (view profile)

Black-Scholes call option price and implied vol functions. No toolbox required. (implied vol, black scholes, option)

c=call(S,K,r,sigma,t,T,q)

d=d1(S,K,r,sigma,t,T)

d=d2(S,K,r,sigma,t,T)

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updated 5 years ago

Closed Form Option Pricer for Jump Diffusion Processes by Nils Delava

Closed Form Option Pricer for Jump Diffusion Processes (option, jump diffusion, finance)

[Call, Put]=JDClosed(S0,X,sigma,r,T,lambda,mu,v,n,flag1)

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updated 5 years ago

Discrete Time Option Pricer for Jump Diffusion Processes by Nils Delava

Finds value of a European option using lattice methodology under a Merton Jump Diffusion process. (finance, option, jumpdiffusion)

[answer]=JDEuropean(S0,X,r,T,sigma,D,lambda,v,mu,n,flag1)

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updated 5 years ago

Valuation of stock option with discrete dividend by Biao

Biao (view profile)

Compare different pricing models for stock option with discrete dividend. (option, dividend, black scholes)

DiscreteDividend(s,k,r,t,vol,d,dt)

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updated 5 years ago

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (finance, stochastic, volatility)

Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)

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updated 6 years ago

Log-Uniform Jump-Diffusion Model by Rodolphe Sitter

European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. (finance, loguniform, jump)

BS(S0,t,K,T,Rgrow,Rdisc,sigma)

JDimpv(S0, X, r, T, a, b, lambda, value)

JDprice.m

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updated 6 years ago

Foreign Exchange Options by Rodolphe Sitter

Valuation of European and American options on foreign exchange using Garman-Kohlhagen model (finance, foreign exchange, fx)

fxoptions( S0, X, rd, rf, T, vol, style)

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updated almost 7 years ago

Pricing Basket Option by Abhishek Bharadwaj

Functions for pricing of a basket option (finance, modeling, analysis)

asianbasket(basketstruct,OptSpec,ExerciseDates,Settle,N,n...

basketset(SPrice, Sigma, Corr, Num)

basketsim(basketstruct,T,N,n,r)

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updated 11 years ago

Child Window by Roy Schestowitz

Child window with parameter passing. (gui tools, example, child)

child(varargin)

main(varargin)

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