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.
Kienitz Wetterau FinModelling (2020). 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 .