Log-Uniform Jump-Diffusion Model

Versione 1.6.0.0 (6,96 KB) da Rodolphe Sitter
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.
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Aggiornato 4 giu 2009

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JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.
Algorithm used: Monte Carlo with antithetic and control variates techniques.

JDimpv : Compute the implied volatilities from the market values of European calls using a Log-Uniform Jump-Diffusion model. (the input "value" may be a matrix)

BS.m: Compute European call option price using the Black-Scholes model (used in JDprice)

Acknowledgements:

Thanks to Zongwu Zhu and Floyd B. Hanson for their paper
"A Monte-Carlo Option-Pricing Algorithm for Log-Uniform".

Cita come

Rodolphe Sitter (2024). Log-Uniform Jump-Diffusion Model (https://www.mathworks.com/matlabcentral/fileexchange/23197-log-uniform-jump-diffusion-model), MATLAB Central File Exchange. Recuperato .

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Log-Uniform-Jump-Diffusion/

Versione Pubblicato Note della release
1.6.0.0

bug fixed
1.5.0.0

fixed the bug
1.4.0.0

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1.1.0.0

-
1.0.0.0