Option Pricing with Monte Carlo Simulation under Heston Stochastic Volatility Model

Description


This application is a non-exotic and exotic option price simulator using Monte Carlo simulation. It prices options under BlackÔÇôScholes/Heston model with Milstein/Euler scheme. This GUI app allows users to directly input parameters and choose model and scheme to get simulated option prices.

Prerequisites


Matlab R2016b or above version.

Contributor