What books can you recommend for option price theory using Matlab?

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Taesik Yun

Numerical methods in finance: Pricing options with MATLAB (English) Paperback

Matteo Brachetta

Hi,

I recommend these two textbooks:

Glasserman P. Monte Carlo Methods in Financial Engineering, Springer;

Brandimarte P. Numerical Methods in Finance and Economics. A MATLAB-Based Introduction. Wiley&Sons.

Sebastian Mauritz

Taesik Yun and Matteo Brachetta many thanks I will have a look at those!

Ojo Philip Bodunde

Monte carlo financial engineering

Raymond A K Cox

There is the first book (author Sandro Calore) suggested by Taisik above. Also, Desmond Higham authored An introduction to financial option valuation with matlab code.

Michał Thlon

I recommend two books:

1. London, J. (2007). Modeling derivatives applications in Matlab, C++, and Excel. Ft Press.

2. Prisman, E. Z. (2000). Pricing derivative securities: an interactive, dynamic environment with Maple V and Matlab. Academic Press.

Many thanks to you all!