This script calculates price for up and out barrier call option on non-dividend paying stock, as described in section 19.14 of Hull's "Options,Futures and Derivatives" book.

The matrix hedgeMat contains results of table 19.1, which is the portfolio of European call options used to replicate the up-and-out option:
column 1:Strike price
column 2: Maturity
column 3:Position
column 4:Initial value

total_initial_value approaches the barrier option price if no. of timesteps are increased beyond 100

Note : requires file
Black Scholes Price & Greeks

Calculates spread of quanto differential swap for USD/GBP

Computes convertible bond price in Tsiveriotis Fernandes model using Jarrow Rudd Binomial tree

Author : Saurav Kasera

CDO Pricing Using Gaussian Copulas in Matlab
Pricing Options(European, American, Bermudan and Barrier) using Partial Differential Equations
Simulation of the Vasicek Model using Excel and VBA

Simulates asset returns for process following Garch Model as described in Heston and Nandi's paper A Closed-Form GARCH Option Valuation Model

Graph is plotted for empirical distribution of log returns. Curves can be compared for effects on skewness and kurtosis by changing parameters alpha and gamma.

Note : requires file EpiricalCurve.m