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This tutorial presents MATLAB code that generates correlated simulated asset paths as discussed in the Generating Correlated Random Sequences tutorial. The generated paths are suitable to be used in the Monte-Carlo approach to pricing options on a basket of assets. An example of MATLAB code to price a simple Spread option is presented in the Pricing a Spread Option in MATLAB tutorial.

Note that the primary purpose of the code presented here is to show how to efficiently generate the correlated asset paths. The code contains no error checking and as such it is not suitable for inclusion into a larger application without appropriate modifications. The fractals forex ea is code for generating a 3-dimensional matrix where each row represents a time step, each column represent a seperate simulation for a specific asset and the 3 rd dimension represents different assets in the basket.

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The following MATLAB code gives an example of how to use the function AssetPathsCorrelatedincluding creating and customizing a plot showing a subset of the generated price paths. One Set of Correlated Asset Price Paths.

An example of using the function AssetPathsCorrelated to price a Spread option is presented in the Pricing a Spread Option in MATLAB tutorial.

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Generating Correlated Asset Paths in MATLAB This tutorial presents MATLAB code that generates correlated simulated asset paths as discussed in the Generating Correlated Random Sequences tutorial.

AssetPathsCorrelated The following is code for generating a 3-dimensional matrix where each row represents a time step, each column represent a seperate simulation for a specific asset and the 3 rd dimension represents different assets in the basket. Phil Goddard phil goddardconsulting. One Set of Correlated Asset Price Paths An example of using the function AssetPathsCorrelated to price a Spread option is presented in the Pricing a Spread Option in MATLAB tutorial.