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分数维Brownian运动之Matlab程序
- 分数维Brownian运动之Matlab程序-fractional Brownian movement Matlab procedures
BrownianMotion
- 程序思路 1. 以点的当前坐标为原点，创建一个级坐标系； 2. 程序生成一个随机的角度； 3. 使用常数作为r，生成一个角坐标； 4. 以点的当前坐标为原点，创建一个直角坐标系； 5. 使用三角函数转换角坐标为直角坐标； 6. 绘图。-monte carlo simulation of Brownian Motion
Equitypremiumandfuzzyintheapplicationofoptionprici
- 本文考虑了期权定价方面的三个问题：期权的保险精算定价方法；分数布朗运动与Poisson跳的股票价格模型的保险精算定价；基于模糊信息处理的期权定价。 首先，利用保险精算方法给出了汇率连动期权的定价公式，获得了欧式看涨期权和看跌期定价公式及平价公式。 其次，利用公平保费原则和价格过程的实际概率测度推广了Mogens bladt 和Hina Hviid Rydberg 关于欧式期权定价的结果。假定股票价格过程遵循分数布朗运动和带非时齐Poisson 跳跃的扩散过程,并且股票预期收益率、无风险利率均为时
stone
- 介绍了一种利用分形布朗分形原理生成石块的方法，-This paper presents a fractal theory of fractal Brownian stone formation method
stochastic
- Several matlab Mfiles for the simulation of stochastic processes in finance and engineering, wienner, random walk, brownian motion, two gamble etc. in addition ot solution to forward and backward Chapmann-Kolmogorov equation-Several matlab Mfiles for
Brownian-Motion
- Wizsoft下的布朗运动模拟，分享给有需要的朋友。-Brownian motion simulation in Wizsoft Send to a friend in need.
work
- 实现动画，挂摆横梁、布朗运动、红色小球沿一条封闭旋螺线运动的实时动画-To achieve animation, hanging swing beam, Brownian motion, a small red ball along a closed real-time animation of the rotating spiral movement
BrownianMotion
- 布朗运动实现，各种程序代码易用俱全，很方便，很难得，VC++实现-Brownian motion to achieve various code-to-use and taste, very hard to come, VC++ achieve
matlab-movie
- matlab动画,描述布朗运动，质点有一定周期显示。-matlab animation, describing Brownian motion, particle cycle.
multi-GBM
- 模拟多维几何布朗运动,是对多资产期权定价,采用蒙特卡洛算法的重要步骤-simulate the multi-dimension geometry brownian motion
ProcessesFinance
- Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.
mle_GBM
- 几何布朗运动最大似然估计Matlab的实现以及应用-Geometric Brownian Motion
BrownianMotion
- 布朗运动实现，各种程序代码易用俱全，很方便，很难得，VC++实现-Brownian motion to achieve various code-to-use and taste, very hard to come, VC++ achieve