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

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.

Finite difference solver for the 'Variance Gamma' partial-integro differential equation (PIDE)

Some code from my MSc numerical methods module

This repository includes Matlab codes/routines that were used in my Bachelor thesis entitled "Numerical Methods For Uncertainty Quantification In Option Pricing" that can be found in: https://www.researchgate.net/publication/330005261_Numerical_Methods_For_Uncertainty_Quantification_In_Option_Pricing.

Matlab code and tools for Quant Research, Data Manipulation and Robust Decision Making

European option price and greeks graphs in Black-Scholes model using Matlab.

Pricing TARN Using Numerical Methods

Binomial models

An Example of Markov Chain and multinominal option pricing. 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…

TPPE29 is a course in Financial Markets and Instruments taught at Linkoping University.

Option Pricing Using the Black Scholes Formula