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Description: Quantitative Finance C++ source code,
asian option pricer
Platform: |
Size: 229841 |
Author: LL |
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Description: Quantitative Finance C++ source code,
asian option pricer
Platform: |
Size: 229376 |
Author: LL |
Hits:
Description: hs is the set of files (with the powerpoint presentation, in french or in english) used for the Webinar "Simulation de Monte Carlo en MATLAB".
- The first demo (LakeArea, run MainLakeArea) is computing the size of a polyogon using a MC approach
- The second demo (PortSim, run WebinarScript) can do 2 things: First, we genrate some equity paths, to verify the lognormality If changing the mode to OptionPricing (uncomment one of the first line),
then those spaths will be used for pricing an asian option
- the 3rd Demo,in myMC (run MonteCarlo.m) , show how to simulate some corelated asset paths
- The 4th demo, (run VanillaPricingUsingDifferentMethods.m in the VarReduction folder) , wil compare th results obtrtain byt differents reduction of Variance technics or "quasi" 礛ont Carlo simultion using Hamlton and sobol Sequences
-hs is the set of files (with the powerpoint presentation, in french or in english) used for the Webinar "Simulation de Monte Carlo en MATLAB".
- The first demo (LakeArea, run MainLakeArea) is computing the size of a polyogon using a MC approach
- The second demo (PortSim, run WebinarScript) can do 2 things: First, we genrate some equity paths, to verify the lognormality If changing the mode to OptionPricing (uncomment one of the first line),
then those spaths will be used for pricing an asian option
- the 3rd Demo,in myMC (run MonteCarlo.m) , show how to simulate some corelated asset paths
- The 4th demo, (run VanillaPricingUsingDifferentMethods.m in the VarReduction folder) , wil compare th results obtrtain byt differents reduction of Variance technics or "quasi" 礛ont Carlo simultion using Hamlton and sobol Sequences
Platform: |
Size: 407552 |
Author: yang |
Hits:
Description: 使用直接模拟蒙特卡罗法的Matlab编程，里面三个算例，如湖面积、资产路径等的概率求解法～-Vincent Leclercq, The MathWorks, 2007
vincent.leclercq@mathworks.fr
Ths is the set of files (with the powerpoint presentation, in french or in english) used for the Webinar "Simulation de Monte Carlo en MATLAB".
- The first demo (LakeArea, run MainLakeArea) is computing the size of a polyogon using a MC approach
- The second demo (PortSim, run WebinarScript) can do 2 things: First, we genrate some equity paths, to verify the lognormality If changing the mode to OptionPricing (uncomment one of the first line),
then those spaths will be used for pricing an asian option
- the 3rd Demo,in myMC (run MonteCarlo.m) , show how to simulate some corelated asset paths
- The 4th demo, (run VanillaPricingUsingDifferentMethods.m in the VarReduction folder) , wil compare th results obtrtain byt differents reduction of Variance technics or "quasi" 礛ont Carlo simultion using Hamlton and sobol Sequences
Platform: |
Size: 397312 |
Author: 杨强 |
Hits:
Description: 用对偶法，给定2M条样本轨道，给出一个亚式看涨期权的价格-With the dual method, sample path of a given article 2M, given a price of Asian call option
Platform: |
Size: 1024 |
Author: cw |
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Description: 用于计算新发行的固定交割价亚式期权的定价（采用算术平均数）-To calculate the newly-issued fixed strike Asian option price
Platform: |
Size: 1024 |
Author: Kelly |
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Description: 亚式期权的二叉树及三叉树算法。很容易改编为其他的强路径依赖期权代码。-Asian option binary and ternary tree algorithms. Easily adapted for other strong path-dependent option code.
Platform: |
Size: 2048 |
Author: zhuang fei die |
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Description: 蒙特卡洛模拟的matlab代码，包括欧式、亚式期权定价，对偶变量法等-Monte Carlo simulation matlab code, including European, Asian option pricing, dual variable method
Platform: |
Size: 7168 |
Author: huang jiawen |
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Description: 通过wiklund近似解计算亚式期权价格(calculate the value of Asian option through Wiklund Approximation)
Platform: |
Size: 1024 |
Author: jeans111
|
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Description: 美式、欧式、亚式期权定价，认购期权和认沽期权(American, European, Asian option pricing)
Platform: |
Size: 12288 |
Author: 等会突然
|
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Description: 美亚式期权定价 使用蒙特卡洛数值模拟方法，对美亚式期权进行定价(Asian option pricing)
Platform: |
Size: 1024 |
Author: Alex0309 |
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