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jkirkby3/PROJ_Option_Pricing_Matlab

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

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Stars
209
Forks
80
Open issues
1
Commits
141

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Latest capture 2026-08-13 03:06

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Topics

#american-options #asian-option #barrier-option #bermudan-option #black-scholes #derivatives #european-options #fourier-transform #heston-model #jump-diffusion #levy-processes #lookback-option #monte-carlo #option-pricing #options #quant-finance #quantitative-finance #sabr #stochastic-volatility-models #variance-swap

Metadata

Language
MATLAB
License
MIT
Default branch
master
Created
2017-11-17
First commit
2017-11-17
Last pushed
2024-11-19
GitHub updated
2026-08-12
Last synced
2026-08-13 03:06
Stack scanned
2026-08-13 03:06
Archived
No
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4 observed captures since 2026-06-19. Observed captures are shown by default.

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