Pricing Basket Option (Scripts) Publisher's description
from Abhishek Bharadwaj
Function for pricing basket option using Monte Carlo Simulation.
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:
System Requirements:MATLAB 7.6 (R2008a)
Program Release Status: New Release
Program Install Support: Install and Uninstall