Jul
26

Calculators

* Asian, fixed strike

* Asian, floating strike

* Barrier

* Barrier, double

* Binary, asset-or-nothing

* Binary, cash-or-nothing

* Binary, gap

* Double Binary

* Chooser, simple

* Chooser, complex

* Compound

* Correlation

* Exchange

* Extendible, holder

* Extendible, writer

* Asian, fixed strike

* Asian, floating strike

* Barrier

* Barrier, double

* Binary, asset-or-nothing

* Binary, cash-or-nothing

* Binary, gap

* Double Binary

* Chooser, simple

* Chooser, complex

* Compound

* Correlation

* Exchange

* Extendible, holder

* Extendible, writer

Jul
26

an example of code used to price a spread option using Monte Carlo simulations (Haug).

http://www.mathworks.com/matlabcentral/fileexchange/82

http://www.mathworks.com/matlabcentral/fileexchange/82

Jul
25

Jackknifing Bond Option Prices. Programs and data used in the paper: Swap and LIBOR Rates; Matlab code for 1-factor CIR in simulations; Matlab code for 1-factor CIR in applications; Matlab code for 2-factor CIR in simulations; Matlab code for 2-factor CIR in applications

http://www.mysmu.edu/faculty/yujun/research.html

http://www.mysmu.edu/faculty/yujun/Research/jackknifecir1foption_sim.m

http://www.mysmu.edu/faculty/yujun/research.html

http://www.mysmu.edu/faculty/yujun/Research/jackknifecir1foption_sim.m

Jul
25

CompEcon is a set of MATLAB functions for solving a variety of problems in economics and finance. The library functions include rootfinding and optimization solvers, a integrated set of routines for function approximation using polynomial, splines and other functional families, a set of numerical integration routines for general functions and for common probability distributions, general solvers for Ordinary Differential Equations (both initial and boundary value problems), routines for solving discrete and continuous time dynamic programming problems, and a general solver for financial derivatives (bonds, futures, options).

http://www4.ncsu.edu/~pfackler/compecon/toolbox.html

http://www4.ncsu.edu/~pfackler/compecon/toolbox.html