Monte Carlo Simulation and Derivatives Pricing

Version 1.0.0.0 (353 ko) par Kienitz Wetterau FinModelling
Monte Carlo Schemes for advanced models and pricing of derivatives
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Mise à jour 25 juil. 2012

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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.

Citation pour cette source

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. Récupéré le .

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Créé avec R2012a
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Version Publié le Notes de version
1.0.0.0