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asianpricer
- Quantitative Finance C++ source code, asian option pricer
MonteCarlo
- 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
MonteCarlo
- 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 Car
asian_call_dw
- 用对偶法，给定2M条样本轨道，给出一个亚式看涨期权的价格-With the dual method, sample path of a given article 2M, given a price of Asian call option
fixed_Asiancall_arith
- 用于计算新发行的固定交割价亚式期权的定价（采用算术平均数）-To calculate the newly-issued fixed strike Asian option price
CRR_Asian
- 亚式期权的二叉树及三叉树算法。很容易改编为其他的强路径依赖期权代码。-Asian option binary and ternary tree algorithms. Easily adapted for other strong path-dependent option code.
MonteCarlo
- 蒙特卡洛模拟的matlab代码，包括欧式、亚式期权定价，对偶变量法等-Monte Carlo simulation matlab code, including European, Asian option pricing, dual variable method
code
- 通过wiklund近似解计算亚式期权价格(calculate the value of Asian option through Wiklund Approximation)
期权定价
- 美式、欧式、亚式期权定价，认购期权和认沽期权(American, European, Asian option pricing)
asian_option
- 美亚式期权定价 使用蒙特卡洛数值模拟方法，对美亚式期权进行定价(Asian option pricing)