Log-Uniform Jump-Diffusion Model
JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.
Algorithm used: Monte Carlo with antithetic and control variates techniques.
JDimpv : Compute the implied volatilities from the market values of European calls using a Log-Uniform Jump-Diffusion model. (the input "value" may be a matrix)
BS.m: Compute European call option price using the Black-Scholes model (used in JDprice)
Acknowledgements:
Thanks to Zongwu Zhu and Floyd B. Hanson for their paper
"A Monte-Carlo Option-Pricing Algorithm for Log-Uniform".
Zitieren als
Rodolphe Sitter (2024). Log-Uniform Jump-Diffusion Model (https://www.mathworks.com/matlabcentral/fileexchange/23197-log-uniform-jump-diffusion-model), MATLAB Central File Exchange. Abgerufen .
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Inspiriert von: Kernel Smoothing Regression
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Log-Uniform-Jump-Diffusion/
Version | Veröffentlicht | Versionshinweise | |
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1.6.0.0 | bug fixed |
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1.5.0.0 | fixed the bug |
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1.4.0.0 | - |
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1.1.0.0 | - |
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1.0.0.0 |