Monte Carlo Simulation and Derivatives Pricing

Monte Carlo Schemes for advanced models and pricing of derivatives
3.2K descargas
Actualizado 25 Jul 2012

Ver licencia

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.

Citar como

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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2012a
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Categorías
Más información sobre Price and Analyze Financial Instruments en Help Center y MATLAB Answers.

Community Treasure Hunt

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

Start Hunting!

StandardMonteCarlo/

Versión Publicado Notas de la versión
1.0.0.0