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
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Updated
May 2, 2020 - MATLAB