Pricing Interest Options with Negative Rates (for Video Demo)

Version 1.0.0.0 (32.6 KB) by MathWorks Quant Team
The file is designed to demonstrate how to pricing interest rate options in negative rates
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Updated 30 Mar 2017

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The file is designed to demonstrate how to pricing interest rate options in negative rates by comparing with the pricing model in positive rates. So users can clearly see the differences between the pricing of interest rate options in both positive and negative rates.

Cite As

MathWorks Quant Team (2024). Pricing Interest Options with Negative Rates (for Video Demo) (https://www.mathworks.com/matlabcentral/fileexchange/62050-pricing-interest-options-with-negative-rates-for-video-demo), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2017a
Compatible with any release
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Version Published Release Notes
1.0.0.0