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Fixed Grid and Stochastic Grid Monte Carlo Sampling

We cover two methods for sampling from Jump Diffusion Models

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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.

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MATLAB Release Compatibility
Created with R2012a
Compatible with any release
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