Fixed Grid and Stochastic Grid Monte Carlo Sampling
Version 1.0.0.0 (4.75 KB) by
Kienitz Wetterau FinModelling
We cover two methods for sampling from Jump Diffusion Models
Illustrates results and algorithms of Chapter 7 of the Wiley Finance series book Financial Modelling by Joerg Kienitz and Daniel Wetterau.
We cover the sampling from Jump-Diffusion models namely Fixed Grid simulation and Stochastic Grid simulation.
Cite As
Kienitz Wetterau FinModelling (2024). Fixed Grid and Stochastic Grid Monte Carlo Sampling (https://www.mathworks.com/matlabcentral/fileexchange/37621-fixed-grid-and-stochastic-grid-monte-carlo-sampling), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
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R2012a
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- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
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1.0.0.0 |