File Exchange

image thumbnail

Pricing Basket Option

version 1.0.0.0 (4.09 KB) by Abhishek Bharadwaj
Functions for pricing of a basket option

3 Downloads

Updated 28 Aug 2008

No License

Function for pricing basket option using Monte Carlo Simulation. You can specify if you want an American option. For American options, it follows LMS algorithm. You can choose to specify Averaging date, Average Price, Average type etc.

asianbasket.m and europeanbasket.m are the files for pricing. basketset.m is the function to generate a structure which is used for pricing functions.
testfile.m is an example.

For LMS, it draws inspiration from the following page:
http://leippold.googlepages.com/longstaffSchwartz2a.html

Comments and Ratings (1)

Bhargav Shah

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
Windows macOS Linux