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An Example of Markov Chain and multinominal option pricing

version 1.0.0.0 (352 KB) by Ying Li
One sample of the pricing of double barriers knock-in binary put option by using multinominal, Marko

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Updated 08 Apr 2008

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As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method.
In this coursework, we discussed the speed, convergence rate and monotonicity of convergence for these methods. We also discussed whether extrapolation improves convergence.

Cite As

Ying Li (2021). An Example of Markov Chain and multinominal option pricing (https://www.mathworks.com/matlabcentral/fileexchange/19487-an-example-of-markov-chain-and-multinominal-option-pricing), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (1)

Mukesh agarwal

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
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