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done
- 包括:使用控制变量蒙特卡洛法和一般蒙特卡洛法的欧洲期权看涨价格程序;使用蒙特卡洛计算定积分;使用B-S公式计算期权价格。 - Including: European call options price procedure using control variable Monte Carlo method and general Monte Carlo method using Monte Carlo calculation of definite integral use the
VarReduction
- 多种方差减小蒙特卡洛法计算期权的程序,程序对学习蒙特卡洛很有帮助!-Various variance reduction Monte C Lofa option calculation procedures, procedures for the Monte Carlo learning very helpful!
implicit_euler_iterative_solve
- 美式期权计算程序,利用的是implicit euler方法进行计算-implicit euler method to calculate American option.
fft
- 关于快速傅里叶变换的贝叶斯计算在金融工程的期权定价中的应用-About the bayesian calculation of fast Fourier transform, the application of option pricing in financial engineering
European_lattice_put
- 美式看跌期权和欧式看跌期权二叉树路径模拟,绝对正确-American and European put option put option binary path simulation, absolutely right
MATLAB-code
- 包含了14段代码,主要是金融领域。包含了显性有限差分-期权定价、蒙特卡洛定价、风险中性期权定价等-Contains 14 sections of the code, mainly in the financial sector. Contains explicit finite difference- pricing, Monte Carlo pricing, risk-neutral pricing options
put_option
- 复制看跌期权,主要包含期权结构、收益分析的内容-copy a put option
HW7
- 欧式期权的定价,利用几何布朗运动,包括置信区间的估计!-European option pricing, the use of geometric Brownian motion, including the confidence interval estimate!
monte_carlo
- 蒙特卡洛模拟,期权定价分析,收益模型仿真。Monte Carlo simulation for returns-Monte Carlo simulation for returns
IMPLIED-VOLA
- 期权的隐含波动率算法。主要使用Crank Nicholson方法求隐含波动率 -Using Crank Nicholson method to get implied volatility
Matlab-option-pricing
- 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
HestonCalibration
- heston期权定价模型,参数calibration程序-heston model parameter calibration program
CTP_OPTION_DEV_MANUAL
- 上期所综合交易CTP平台期权开发说明及源代码示例-CTP OPTION TRADING SYSTEM DEVELOPMENT MANUAL
fsopt_traderapi_20150324
- 个股期权api 上海期货交易所ctp开发,,需要的请赶紧下载,关于期权的-The development of the stock options ctp api Shanghai Futures,, need, please download quickly, on options
asian
- 运用二叉树对欧式看涨亚式期权的定价,详细说明-Use binary European call for Asian options pricing
optionsql
- 计算期权希腊值, delta gamma theta vega- delta gamma theta vega
listing-1.13
- 二叉树模型:利用二叉树模型简单地 计算期权价格-Binomial model: the use of binomial model to calculate the option price
PDE
- 用VBA编写使用PDE对期权进行定价的程序,在excel中使用,可调整参数。-Using PDE to price an option. Using VBA in EXCEL.
vix
- 根据上证期权历史行情,利用方差互换思想,计算标的证券的隐含波动率vix指数。(包括05年4、5、6月的期权价格数据)-To calculate the vix index
MATLAB
- 这是一个期权隐含波动率套利的回测程序模型-This is a back-testing program model option implied volatility arbitrage