Monte Carlo Simulation and Derivatives Pricing

Versione 1.0.0.0 (353 KB) da Kienitz Wetterau FinModelling
Monte Carlo Schemes for advanced models and pricing of derivatives
5.0
(1)
3,3K download
Aggiornato 25 lug 2012

Visualizza la licenza

Illustrates methods from Chapter 7 of the Wiley Finance series title Financial Modelling by Joerg Kienitz and Daniel Wetterau. e
We cover Monte Carlo simulation by considering path discretisation for advance models including:
Black-Scholes, Merton, Heston, Bates, Variance Gamma, NIG, SABR, VGGOU, VGCIR, NIGGOU, NIGCIR, CEV, Displaced Diffusion.

The files includes the popular QE scheme for discretizing Heston. We also cover direct and subordinator simulation for Levy processes.

Cita come

Kienitz Wetterau FinModelling (2024). Monte Carlo Simulation and Derivatives Pricing (https://www.mathworks.com/matlabcentral/fileexchange/37618-monte-carlo-simulation-and-derivatives-pricing), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2012a
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Price and Analyze Financial Instruments in Help Center e MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

StandardMonteCarlo/

Versione Pubblicato Note della release
1.0.0.0