Monte Carlo Simulation and Derivatives Pricing

バージョン 1.0.0.0 (353 KB) 作成者: Kienitz Wetterau FinModelling
Monte Carlo Schemes for advanced models and pricing of derivatives
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更新 2012/7/25

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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.

引用

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. に取得済み.

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