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

Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds, Determining Pension Fund's Premium. (Case Study Papers and Code)

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

Using Finite Element and Finite Difference Methods to Price European Options

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.

Quantitative and computational finance library

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

Finite Difference Method for the Multi-Asset Black–Scholes Equations

MA473: Computational Finance

Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen

This is a binomial tree program that prices European single-barrier knock-in calls on a dividend-paying stock, and also determines the relative error based on the call price using the Black-Scholes model.

Option Pricing Using the Black Scholes Formula