Publisher review:MCSpreadOption - Monte Carlo Simulation Spread Options The MCSpreadOption function can be used for valuation of spread options Spread options are actively traded on New York Mercantile Exchange (NYMEX) on the difference/spread between different oil qualities. Spread options are also popular in many other markets.Tested under MATLAB 5.3 on Windows 98 Requirements: ยท MATLAB Release: R11
MCSpreadOption is a Matlab script for Financial Modeling and Analysis scripts design by Espen Haug.
It runs on following operating system: Windows.
MCSpreadOption - Monte Carlo Simulation Spread Options
Operating system:Windows
MCSpreadOption script details 
