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Jul 24

Pricing Derivatives Securities using MATLAB

Posted by abiao at 16:12 | Code » Matlab | Comments(0) | Reads(9434)
A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".

* Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation.
* Pricing exotic options using the implied trinomial tree (ITT) method
* Hedging using derivatives
* Pricing interest rate derivatives using the BDT model


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