Description: 根据BS公式，通过Mente Carlo模拟对欧式期权进行定价的源码。即使不是做期权定价的，该源码也是一个非常好的理解如何做Mente Carlo模拟的实例。-Based on the Black-Scholes formula, codes for pricing the European options through the Mente Carlo simulation. It is a very good example for your understanding of how to do Mente Carlo simulation, even if you do not engage in the option pricing. Platform: |
Size: 138240 |
Author:Joyce |
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 |
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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 |
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Description: MatLab source code for real option pricing. These real options are based on exponential mean reverting process and we assume that the price is only a function of asset, i.e. we consider only homogenous case.-MatLab source code for real option pricing. These real options are based on exponential mean reverting process and we assume that the price is only a function of asset, i.e. we consider only homogenous case. Platform: |
Size: 1024 |
Author:panveverka |
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Description: 由脚本输入相关值可以计算一个欧式期权；
通过匿名函数计算，其中一些call其它函数，如CDF和PDF。-This script is used for implement the Black-Scholes pricing model
By the script ten related values of a European option can be calculated
Anonymous functions are used in this script, and some of them call ohter functions, such as CDF and PDF. Platform: |
Size: 1024 |
Author:zzc |
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Description: matlab
monte-carlo simulation
for American option pricing
and other path dependent derivative-matlab monte-carlo simulation for American option pricing and other path dependent derivative Platform: |
Size: 634880 |
Author:李淑涵 |
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Description: 期权价格二叉树定价，包括股票和期货的欧式美式期权定价-binomial option pricing, including the European and American option pricing on stocks and futures Platform: |
Size: 4096 |
Author:石楠 |
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Description: 期权定价的相关matlab代码程序，喜欢的朋友可以下载-Related matlab code program option pricing, like a friend can download to see Platform: |
Size: 2048 |
Author:vcmd |
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Description: matlab 二叉树 蒙特卡洛 有限元法 期权定价-Binomial tree model/ Monte Carlo /FDM/
for option pricing in matlab Platform: |
Size: 5120 |
Author:liyongqiang |
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Description: 金融数量分析——基于MATLAB编程（第3版）》一书中的案例均来源于作者的工作实际，并充分体现“案例的实用性、程序的可模仿性”，程序中附有详细的注释。例如，投资组合管理、KMV模型计算、期权定价模型与数值方法、风险价值VaR的计算等案例程序，读者可以直接使用或根据需要在源代码的基础上修改、完善。(Quantitative analysis: Based on MATLAB programming (Third Edition) "a Book of the case are derived from the author's actual work, and fully reflect the practical case of the program, imitation of" program with detailed notes. For example, investment portfolio management, KMV model, option pricing model and numerical calculation method, the calculation of the risk value of VaR case procedures, can be used directly or according to the needs of readers in the source code on the basis of modification and improvement.) Platform: |
Size: 28944384 |
Author:刀刀2010
|
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Description: 用蒙特卡洛模拟实现美式期权定价，包括资产路径生成和美式期权欧式期权定价的源代码，附带参考文献。(Using Monte Carlo simulation to realize American option pricing, including the source code of asset path generation and American option European option pricing, with reference.) Platform: |
Size: 7760896 |
Author:张深 |
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Description: 本书注重理论与实践相结合,通过实际案例和编程实现让读者理解理论在实践中的应用;同时还充分强 调“案例的实用性、程序的可模仿性”,且在案例程序中附有详细的注释。例如,投资组合管理、KMV模型计 算、期权定价模型与数值方法、风险价值VaR的计算等案例程序,读者可以直接使用或根据需要在源代码基 础上进行修改使用。(This book pays attention to the combination of theory and practice, through practical cases and programming to enable readers to understand the application of theory in practice; at the same time, it fully emphasizes "the practicality of cases, the imitatability of procedures", and has detailed notes in the case procedures. For example, case programs such as portfolio management, KMV model calculation, option pricing model and numerical method, VAR calculation can be used directly or modified on the basis of source code as required.) Platform: |
Size: 25851904 |
Author:热带 |
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