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polynomial-chaos-expansion

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hammouc / Parametric_Uncertainty_Quantification_option_pricing

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This repository includes Matlab codes/routines that were used in my Bachelor thesis entitled "Numerical Methods For Uncertainty Quantification In Option Pricing" that can be found in: https://www.researchgate.net/publication/330005261_Numerical_Methods_For_Uncertainty_Quantification_In_Option_Pricing.

monte-carlo matlab option-pricing numerical-methods uncertainty-quantification sparse-grids numerical-analysis black-scholes polynomial-chaos-expansion
  • Updated May 2, 2020
  • MATLAB

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