Description: 蒙特卡洛模拟来计算欧式期权的定价，更忌精确但是耗时很大。-Monte Carlo simulation to calculate European option pricing, more accurate but time-consuming bogey great. Platform: |
Size: 1906 |
Author:真实 |
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Description: 蒙特卡洛模拟来计算欧式期权的定价，更忌精确但是耗时很大。-Monte Carlo simulation to calculate European option pricing, more accurate but time-consuming bogey great. Platform: |
Size: 2048 |
Author: |
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Description: 几何布朗运动的Monte Carlo模拟以及美式期权定价-Geometric Brownian motion of the Monte Carlo simulation as well as the American option pricing Platform: |
Size: 1024 |
Author:cy |
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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: 应用蒙特卡洛的方法为欧式看涨期权定价。同时，该程序是应用对偶方法进行模拟的。-pricing european call option with antithetic method in monte carlo Platform: |
Size: 528384 |
Author:yan |
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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: 在进行利用蒙地卡罗方法进行期权定价的时候，我们有很多减小方差的方法，下面是其中的两种。-During the use of Monte Carlo methods for option pricing, we have a lot of variance reduction method, the following two. Platform: |
Size: 2048 |
Author:韦伟 |
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Description: 银行十年期固定利率贷款隐含期权蒙特卡罗模拟定价程序，具有很好的运行结果-Ten-year fixed-rate bank loans Monte Carlo simulation embedded option pricing procedures, with good operating results Platform: |
Size: 1024 |
Author:戴兆辉 |
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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: 欧式期权解析解，蒙特卡洛解代码
语言：C++(This is the source code of pricing European Option (contains Call and Put) in two ways: Analytic method and Monte-Carlo Simulation) Platform: |
Size: 24576 |
Author:Atriple7 |
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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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Search - option pricing monte carlo