An Example of Markov Chain and multinominal option pricing (Scripts) Publisher's description
from Ying Li
As a coursework, we are required to price a double barriers knock-in binary put option.
As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method.
In this coursework, we discussed the speed, convergence rate and monotonicity of convergence for these
System Requirements:MATLAB 7.5 (R2007b)
Program Release Status: New Release
Program Install Support: Install and Uninstall