Pricing Tool-kit
MATLAB based pricing library with capabilities to price various derivatives on Cryptocurrency underlyings

Instruments currently supported
  • Underlying: Coin (e.g. ETC/USD)
    • European Call on Coin
    • European Put on Coin

  • Underlying: Future on Coin (e.g. Futs on ETC/USD with fixed maturity)
    • European Call on Futures
    • European Put on Futures
Models currently supported
  • Heston: Closed Form
  • Bates: Closed Form
  • Stochastic Volatility Correlated Jumps - SVCJ: No option pricing capabilities yet, only historical timeseries calibration
How to use the code
Step1: Go to GitHub and checkout the repository (click here)
Step2: Follow the instructions from Readme file

Instrument Tree

Instrument Tree

Pricing Models

Pricers

Heston Class Implementation

Bates Class Implementation

BSM Class Implementation

Instrument Class Implementation

Coin Class Implementation

Derivative Class Implementation

Future Class Implementation

Option Class Implementation

EuropeanOption Class Implementation

OptionPricer Class Implementation

EuropeanOptionPricer Class Implementation