搜索资源列表
MonteCarlosimulation
- 几何布朗运动的Monte Carlo模拟以及美式期权定价
美式期权定价Matlab 程序
- 文件提供了基于跳扩散过程的美式期权定价程序
fractalhurst
- 分形Hurst指数在彩虹期权定价中的应用-fractal hurst
option-pricing
- 期权定价中用到的基础资产价格模拟以及相应的期权定价问题-Used in option pricing based on asset prices and the corresponding simulated option pricing problem
butterfly
- 碟式期权定价的m文件，自己编的，希望可以用-M-disc option pricing documents, their series, hoping to use
Americanoption-binary-pricing
- 用于无红利的美式看跌期权定价，参数依次为（现在股价，协议价格，无风险利率，波动率，期限，二叉树步数） -No dividend for the American put option pricing parameters were (now price, agreed price, risk-free interest rate, volatility, duration, binary steps)
option_MonteCarlo
- 百慕达期权的MonteCarlo模拟，MonteCarlo广泛应用于各种期权定价模拟等过程-Bermuda option MonteCarlo simulations, MonteCarlo widely used in option pricing simulation processes
r121ic
- 双指数跳扩散模型的美式二值期权定价Double exponential jump-diffusion model of the American binary option pricin-Double exponential jump-diffusion model of the American binary option pricing
22
- 分数布朗运动驱动下带比例交易成本的期权定价Driven by fractional Brownian motion with proportional transaction costs of option pricing-Driven by fractional Brownian motion with proportional transaction costs of option pricing
32432
- 用混合小波网络和遗传算法对期权定价的研究.-Hybrid wavelet neural network and genetic algorithm study on option pricing.
antithetic-monte-carlo
- 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
financial-compute
- 包括期权的二叉树定价在内的一系列算例,这些是期权定价方法中最简单便捷的数值定价方法-It includes the CRR method of option pricing，and so on
Trinomial
- 基于三叉树的期权定价模型，包括路径依赖型，向下敲出期权等奇异期权-Trinomial tree option pricing model, including path-dependent, and down to knock out the options and exotic options
期权定价
- 欧式和美式期权的二叉树定价和蒙特卡罗定价的源代码
MC_v1
- 内含蒙特卡洛期权定价法，运用面向对象编程， 代码非常清晰，有注释，希望帮到大家(Contains Monte Carlo option pricing, the use of object-oriented programming, the code is very clear, there are notes, and I hope to help you)
Desktop
- 欧式期权定价数据绘图，数据也在压缩包里面(pricing of European options and data used)
BlackScholes
- 期权定价模型与数值方法 BS公式隐含波动率计算(Option pricing model and numerical method Calculation of Implicit Volatility of BS Formula)
American Options
- 用多种方法求解美式期权定价问题，其中包括二叉树方法，有限差分法，最小二乘蒙特卡洛模拟法（LSM法），并对这几种方法进行了对比(Several methods are used to solve American option pricing problems, including binary tree method, finite difference method, least squares Monte Carlo simulation method (LSM method). These
mc
- 利用蒙特卡洛方法计算欧式看涨期权的价格。(Monte Carlo method is used to calculate the price of European call options.)
matlab 最小二乘蒙特卡罗（LMS）美式期权定价
- 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.)