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 This e-mail address is being protected from spam bots, you need JavaScript enabled to view it us.

* Note that the models are not designed with optimal methods considered. Please do send us any errors and / or suggestions that you may have. Furthermore, the greeks for all options will be gradually added.

Please email us with any errors, comments or suggestions This e-mail address is being protected from spam bots, you need JavaScript enabled to view it

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

> Vanilla Options

Option	Model	Size(kb)	Download
European	Black-Scholes (Basic)	2
European	Black-Scholes-Merton (Continuous Dividends)	2
European	Binomial Method (Cox-Ross-Rubinstein)	2
European	Trinomial Method (Boyle)	3
European	Greeks	3
European	Explicit Finite Differences (Crank Nicolson)	5
European	Implicit Finite Differences	4
European	Monte Carlo Simulation
European	Quasi-Monte Carlo (under Moro Inversion) Adapted from/with This e-mail address is being protected from spam bots, you need JavaScript enabled to view it
European	Jump Diffusion (Merton)	2
European	At-the-Money Forward Approximation
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)
American	Andrikopoulos (Quadratic Approximation with Boundary Optimality - Put Option)	3
American	Ju-Zhong Approximation
American	Binomial Method	2
American	Trinomial Method	3
American	Explicit Finite Differences Method
American	Bjerksund, Stensland Approximation
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

> Exotic Options

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

> Fixed Income / Bond Derivatives

> Economic Derivatives

> Weather Derivatives

Trading Strategies

Value at Risk