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Numerical Methods For Uncertainty Quantification In Option Pricing

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. This work intends to develop a framework and numerical methods for risk quantification in option pricing. We study parametric uncertainty and its effects on option prices, under the Black and Scholes model. The methods are based on Monte Carlo (MC), polynomial chaos, and sparse grids.

The repository includes:

1- Folder “Matlab files for one dimensional case” includes all related code to one dimensional UQ methods.

2- Folder “Matlab files for high dimesional case” includes all related code to to high dimensional UQ methods.

3- Folder “Produced_results” includes all obtained results in my Bachelor thesis.