DansonGo 2 -- Option Pricing with Monte Carlo Simulation under Heston Stochastic Volatility Model

An option price simulator under Matlab.

Description

This application is a non-exotic and exotic option price simulator using Monte Carlo simulation. It prices options under Black–Scholes/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

• Gen Li
• Yihui Ren