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
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
shuangbizhong
- 应用蒙特卡洛模拟方法为某种双币种期权定价-Quanto Option Pricing using the Monte Carlo method
MC_Knock_Out
- 障碍期权定价的模特卡洛模拟 用antithetic variate 法减小标准误差-Monte Carlo Simulation of a Knock Out contract, using antithetic variate method to reduce the standard error.
binomial-pricing-model
- 二叉树定价模型是期权定价模型中最为简单也是最为实用的定价模型，其极限就是Black sholes定价模型的结果。-Binary tree pricing model is the most simple option pricing model is the most practical pricing model, the limit is Black sholes pricing model results.
Desktop
- 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.
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
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.)