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.
Kienitz Wetterau FinModelling (2023). Monte Carlo Simulation and Derivatives Pricing (https://www.mathworks.com/matlabcentral/fileexchange/37618-monte-carlo-simulation-and-derivatives-pricing), MATLAB Central File Exchange. 检索来源 .
平台兼容性Windows macOS Linux
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!