Fixed Grid and Stochastic Grid Monte Carlo Sampling

버전 1.0.0.0 (4.75 KB) 작성자: Kienitz Wetterau FinModelling
We cover two methods for sampling from Jump Diffusion Models
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업데이트 날짜: 2012/7/25

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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.

인용 양식

Kienitz Wetterau FinModelling (2024). 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. 검색 날짜: .

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FGS_SGS_Sampling/

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1.0.0.0