Title: A software tool for numerical option pricing in MATLAB®

Authors: Jeetendre Narsoo; Mohammad Sameer Sunhaloo

Addresses: School of Innovative Technologies and Engineering, University of Technology, Mauritius, La Tour Koenig, Pointe-aux-Sables, Mauritius Fax: +230-234-17-47 ' School of Innovative Technologies and Engineering, University of Technology, Mauritius, La Tour Koenig, Pointe-aux-Sables, Mauritius Fax: +230-234-17-47

Abstract: A graphical user interface (GUI) has been designed to encapsulate classical numerical algorithms to price European and American options in the finite difference setting under a common and flexible environment. All the algorithms have been implemented as classes using an object-oriented framework and tested using MATLAB® that supports an object-oriented environment. In this paper, our focus has been on the program design aspects of the algorithms to make them more flexible, easy-to-use, maintainable and robust. The interface consists of three separate windows, one for inputting the parameters of the option pricing models, the second window for displaying the results in tabular form and the third one to display a graphical representation of the results.

Keywords: graphical user interface; GUI; option pricing; object-oriented framework.

DOI: 10.1504/IJMMNO.2022.123968

International Journal of Mathematical Modelling and Numerical Optimisation, 2022 Vol.12 No.3, pp.303 - 325

Received: 26 Jul 2021
Accepted: 21 Feb 2022

Published online: 05 Jul 2022 *

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