Below you will find a list of various derivatives related Matlab files grouped into categories. We have attempted to provide the simple models, as well as those which rely on simulation techniques or advanced modeling. If you are interested in contributing, please email us.
* Please do send us any errors and / or suggestions that you may have. Greeks and other risk parameters for pricing models will be gradually added.
Please note that all code is available freely for distribution. However, please be kind enough to reference the author / site when using the code.
Vanilla Options || Exotic Options || FX / Interest Rate Derivatives || Economic Derivatives || Weather Derivatives || Trading Strategies || Value-at-Risk
| Option | Model |
Size(kb)
|
Download
|
| European | Black-Scholes (Basic) |
2
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 |
| European | Black-Scholes-Merton (Continuous Dividends) |
2
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| European | Binomial Method (Cox-Ross-Rubinstein) |
2
|
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| European | Trinomial Method (Boyle) |
3
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| European | Greeks |
3
|
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| European | Explicit Finite Differences (Crank Nicolson) |
5
|
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| European | Implicit Finite Differences |
4
|
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| European | Monte Carlo Simulation | 1 | |
| European | Quasi-Monte Carlo (under Moro Inversion) Adapted from/with This e-mail address is being protected from spambots. You need JavaScript enabled to view it |
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| European | Jump Diffusion (Merton) |
2
|
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| European | At-the-Money Forward Approximation | 1 | |
| European | CEV Approach | ||
| European | Hopscotch Method (Averaging Implicit & Explicit Finite Differences) | ||
| European | Adaptive Mesh Method | ||
| American | Roll, Geske, Whaley (Single Dividend) |
5
|
|
| American | Carr, Jarrow & Myneni | ||
| American | Barone-Adesi, Whaley (Quadratic Approximation) | 4 | |
| American | Andrikopoulos (Quadratic Approximation with Boundary Optimality - Put Option) |
3
|
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| American | Ju-Zhong Approximation | 3 | |
| American | Binomial Method |
2
|
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| American | Trinomial Method |
3
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| American | Explicit Finite Differences Method | ||
| American | Bjerksund, Stensland Approximation | 3 | |
| American Puts | Geske & Johnson Approximation | ||
| American | Hopscotch Method (Averaging Implicit & Explicit Finite Differences) | ||
| American | Adaptive Mesh Method | ||
| American | Compared Methods | ||
| Implied Volatility | From Call/Put Prices (Newton-Rhapson Algorithm) | ||
| Implied Volatility | Corrado & Miller Approximation | ||
| Implied Volatility | Brenner & Subrahmanyam At-the-Money Approximation |
| Option | Model |
Size(kb)
|
Download
|
| Exchange Exchange it for something at a certain date |
European Closed Form |
2
|
|
| Lookback | Floating-Strike |
3
|
|
> IR / FX / Currency Derivatives
| Option | Model |
Size(kb)
|
Download
|
| Caplets & Floorlets | Black | ||
| European Currency | Garman-Kohlhagen | ||
| European Swaptions | Black-76 | ||
| Equity Linked Forex | Reiner | ||
| Foreign Equity - Domestic Strike | Reiner | ||
| Interest Rate Barrier Options | Barone-Adesi, Sorwar | ||
| Quanto | Fixed ER - Foreign Equity |
> Fixed Income / Bond Derivatives
| Option | Model |
Size(kb)
|
Download
|
| Bond | Schaefer & Schwartz | ||
| Bond | Black-76 | ||
| Bond | Binomial - Rendleman & Bartter | ||
| Convertible Bond | Binomial - Derman (Goldman-Sachs) | ||
| Options on T-Bond Futures | Black | ||
| Options on LIBOR | Black |
| Option | Model |
Size(kb)
|
Download
|
| HDD/CDD |
-
|
| Option | Model |
Size(kb)
|
Download
|
| Currency Hedging with Futures | Hedge existing currency position | ||
| Optimal Delta Hedging | European | ||
| Trading Strategies | Graphs, Details, Definitions |
| Option | Model |
Size(kb)
|
Download
|
| Value at Risk | Delta-Gamma Approach (1 asset) | ||
| Value at Risk | Variance - Covariance Approach (1 asset) | ||
| Value at Risk | Variance - Covariance Approach (2 asset) | ||
| Value at Risk | Bond Daily VaR (1 Issue) |
