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Fixed Grid and Stochastic Grid Monte Carlo Sampling

version 1.0.0.0 (4.75 KB) by Kienitz Wetterau FinModelling
We cover two methods for sampling from Jump Diffusion Models

1.5K Downloads

Updated 25 Jul 2012

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Illustrates results and algorithms of Chapter 7 of the Wiley Finance series book Financial Modelling by Joerg Kienitz and Daniel Wetterau.

We cover the sampling from Jump-Diffusion models namely Fixed Grid simulation and Stochastic Grid simulation.

Cite As

Kienitz Wetterau FinModelling (2021). Fixed Grid and Stochastic Grid Monte Carlo Sampling (https://www.mathworks.com/matlabcentral/fileexchange/37621-fixed-grid-and-stochastic-grid-monte-carlo-sampling), MATLAB Central File Exchange. Retrieved .

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

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