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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

Pricing Basket Option keywords:
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Shareware Connection periodically updates pricing and software information of 'Pricing Basket Option' from company source 'Abhishek Bharadwaj' , so some information may be slightly out-of-date. You should confirm all information before relying on it. Software piracy is theft,  Using 'Pricing Basket Option' crack, password, serial numbers, registration codes, key generators is illegal and prevent future development of Pricing Basket Option.

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