Pricing Basket Option

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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

Free download from Shareware Connection - Function for pricing basket option using Monte Carlo Simulation.

Publisher: Abhishek Bharadwaj | License: Freeware | Price: 0.00
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 07-03-2013 | Rating: 0 | Title: Pricing Basket Option

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/21243/1/basket.zip

Homepage | Download

Pricing Basket Option keywords:

function, generate, files, structure, inspiration, draws, price, average, monte, carlo, option, basketsetm, asianbasketm, europeanbasketm, functionstestfilem

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