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Monte Carlo Simulation and Derivatives Pricing

Monte Carlo Schemes for advanced models and pricing of derivatives

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Updated 25 Jul 2012

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Illustrates methods from Chapter 7 of the Wiley Finance series title Financial Modelling by Joerg Kienitz and Daniel Wetterau. e
We cover Monte Carlo simulation by considering path discretisation for advance models including:
Black-Scholes, Merton, Heston, Bates, Variance Gamma, NIG, SABR, VGGOU, VGCIR, NIGGOU, NIGCIR, CEV, Displaced Diffusion.

The files includes the popular QE scheme for discretizing Heston. We also cover direct and subordinator simulation for Levy processes.

Comments and Ratings (2)

How to modifiy the simulation procedure from MC_VG_S.m to obtain VGSSD process (variance gamma scaled self decomposable process) described here: http://www.ucd.ie/t4cms/WP-10-04.pdf ?

Marvin

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

StandardMonteCarlo/