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MCSpreadOption
- 蔓延期权的蒙特卡洛模拟 这个程序很简洁的实现了这一类期权的模拟，和大家一同分享-monte carlo simulation for spread option
Derivative-Securities
- 衍生产品定价关于期权，奇异期权，利率衍生产品-derivative product
factor-analysis
- 衍生产品定价关于期权，奇异期权，利率衍生产品-derivative product
antithetic-monte-carlo
- 应用蒙特卡洛的方法为欧式看涨期权定价。同时，该程序是应用对偶方法进行模拟的。-pricing european call option with antithetic method in monte carlo
financial-compute
- 包括期权的二叉树定价在内的一系列算例,这些是期权定价方法中最简单便捷的数值定价方法-It includes the CRR method of option pricing，and so on
ameri
- 通过确定执行边界的方法计算美式期权价格，并画出它的执行边界。-Determine the implementation of the boundary of the method to calculate the American option price and draw the boundary of its execution.
Trinomial
- 基于三叉树的期权定价模型，包括路径依赖型，向下敲出期权等奇异期权-Trinomial tree option pricing model, including path-dependent, and down to knock out the options and exotic options
binomial-option-pricing-matlab
- 期权价格二叉树定价，包括股票和期货的欧式美式期权定价-binomial option pricing, including the European and American option pricing on stocks and futures
bbinnomoaltrri
- 二叉树方法计算欧式期权价价格，篮子期权，由2项资产 -Binomial tree method to calculate the price of European option prices, basket options, two assets
MCGARCH
- 蒙特卡洛欧式期权价格动态计算(GARCH)-European call option pricing( GARCH dynamic) under monte carlo
monte
- 期权定价 monte carlo方法 使用bs公式-Monte carlo option pricing method using bs formula
frft.m
- FRFT的程序 与FFT相比有自由度的优势 在金融期权定价中可以应用-Fractional Fast Fourier Transform(FRFT)
BlackScholesMethod
- BS公式定价期权,该公式是在BS模型下得到的，通过假设股票服从几何布朗运动来定价-option pricing by BS formula
Tree
- 利用tree method定价期权，其中包括使用binomial tree和trinomial tr-C++ codes to price barrier options using tree methods
Daima
- 蒙特卡罗模拟，进行期权价格模拟。非常实用-the application of MC
mathematical-finance
- 定价，半鞅表示，期权，随机微分方程，政策转换市场-PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME-SWITCHING MARKETS
Blackscholes
- 给期权定价的著名的有用的很好的基于布朗运动的BS期权定价公式-To the famous option pricing useful good BS option pricing formula based on the Brownian motion
shuangbizhong
- 应用蒙特卡洛模拟方法为某种双币种期权定价-Quanto Option Pricing using the Monte Carlo method
MC_Knock_Out
- 障碍期权定价的模特卡洛模拟 用antithetic variate 法减小标准误差-Monte Carlo Simulation of a Knock Out contract, using antithetic variate method to reduce the standard error.
binomial-pricing-model
- 二叉树定价模型是期权定价模型中最为简单也是最为实用的定价模型，其极限就是Black sholes定价模型的结果。-Binary tree pricing model is the most simple option pricing model is the most practical pricing model, the limit is Black sholes pricing model results.