Bridge Sampling

版本 1.0.0.0 (16.0 KB) 作者: Kienitz Wetterau FinModelling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
0.0
(0)
1.6K 次下载
更新时间 2012/7/25

查看许可证

Results from Chapter 7 and 8 of Financial Modelling by Joerg Kienitz and Daniel Wetterau.

We illustrate bridge sampling with quasi random numbers, in this case Sobol numbers.

We cover the Brownian Bridge for Geometric Brownian motion and Gamma Bridge for Variance Gamma processes.

引用格式

Kienitz Wetterau FinModelling (2024). Bridge Sampling (https://www.mathworks.com/matlabcentral/fileexchange/37622-bridge-sampling), MATLAB Central File Exchange. 检索来源 .

MATLAB 版本兼容性
创建方式 R2012a
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Energy Production 的更多信息

Community Treasure Hunt

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

Start Hunting!

BridgeSampling/

版本 已发布 发行说明
1.0.0.0