MATLAB Derivatives Pricing

版本 1.0.0.0 (8.8 KB) 作者: Matt McDonnell
Derivatives pricing based on 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi.
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更新时间 2015/8/17
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A MATLAB version of derivatives pricing based on C++ Design Patterns and Derivatives Pricing by Mark Joshi.
This implementation makes use of Dependency Injection for constructing the pricing application. The Chebfun library is used for pricing some vanilla options as an example of how different pricing engines may be plugged in to the application.

引用格式

Matt McDonnell (2025). MATLAB Derivatives Pricing (https://github.com/mattmcd/mdpr), GitHub. 检索时间: .

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