Description: 应用蒙特卡罗模拟方法计算期权价格
统计模拟方法亦称蒙特卡罗(Monte-Carlo)方法.因为通常的教科书几乎不涉及
此内容.了解的人不多。听到过的人又常把它看作是统计力学或核物理等学科的专门工具.很少想到这个方法与自己的科研工作有什么关系。
-Application of Monte Carlo simulation method of calculating the option price statistics, also known as Monte Carlo simulation method (Monte-Carlo) methods. Because textbooks are usually almost do not involve this content. Not many people understand. Heard of people often see it as a statistical mechanics or nuclear physics disciplines, such as specialized tools. Rarely thought about this method and their own research work has anything to do. Platform: |
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Author:blue8202 |
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Description: hs is the set of files (with the powerpoint presentation, in french or in english) used for the Webinar "Simulation de Monte Carlo en MATLAB".
- The first demo (LakeArea, run MainLakeArea) is computing the size of a polyogon using a MC approach
- The second demo (PortSim, run WebinarScript) can do 2 things: First, we genrate some equity paths, to verify the lognormality If changing the mode to OptionPricing (uncomment one of the first line),
then those spaths will be used for pricing an asian option
- the 3rd Demo,in myMC (run MonteCarlo.m) , show how to simulate some corelated asset paths
- The 4th demo, (run VanillaPricingUsingDifferentMethods.m in the VarReduction folder) , wil compare th results obtrtain byt differents reduction of Variance technics or "quasi" 礛ont Carlo simultion using Hamlton and sobol Sequences
-hs is the set of files (with the powerpoint presentation, in french or in english) used for the Webinar "Simulation de Monte Carlo en MATLAB".
- The first demo (LakeArea, run MainLakeArea) is computing the size of a polyogon using a MC approach
- The second demo (PortSim, run WebinarScript) can do 2 things: First, we genrate some equity paths, to verify the lognormality If changing the mode to OptionPricing (uncomment one of the first line),
then those spaths will be used for pricing an asian option
- the 3rd Demo,in myMC (run MonteCarlo.m) , show how to simulate some corelated asset paths
- The 4th demo, (run VanillaPricingUsingDifferentMethods.m in the VarReduction folder) , wil compare th results obtrtain byt differents reduction of Variance technics or "quasi" 礛ont Carlo simultion using Hamlton and sobol Sequences
Platform: |
Size: 407552 |
Author:yang |
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Description: 使用直接模拟蒙特卡罗法的Matlab编程，里面三个算例，如湖面积、资产路径等的概率求解法～-Vincent Leclercq, The MathWorks, 2007
vincent.leclercq@mathworks.fr
Ths is the set of files (with the powerpoint presentation, in french or in english) used for the Webinar "Simulation de Monte Carlo en MATLAB".
- The first demo (LakeArea, run MainLakeArea) is computing the size of a polyogon using a MC approach
- The second demo (PortSim, run WebinarScript) can do 2 things: First, we genrate some equity paths, to verify the lognormality If changing the mode to OptionPricing (uncomment one of the first line),
then those spaths will be used for pricing an asian option
- the 3rd Demo,in myMC (run MonteCarlo.m) , show how to simulate some corelated asset paths
- The 4th demo, (run VanillaPricingUsingDifferentMethods.m in the VarReduction folder) , wil compare th results obtrtain byt differents reduction of Variance technics or "quasi" 礛ont Carlo simultion using Hamlton and sobol Sequences Platform: |
Size: 397312 |
Author:杨强 |
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Description: matlab
monte-carlo simulation
for American option pricing
and other path dependent derivative-matlab monte-carlo simulation for American option pricing and other path dependent derivative Platform: |
Size: 634880 |
Author:李淑涵 |
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Description: matlab 二叉树 蒙特卡洛 有限元法 期权定价-Binomial tree model/ Monte Carlo /FDM/
for option pricing in matlab Platform: |
Size: 5120 |
Author:liyongqiang |
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Description: 用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述,用MATLAB编写的遗传算法路径规划，相控阵天线的方向图（切比雪夫加权）。- Monte Carlo simulation method of calculating the American option price and basic description, Genetic algorithms using MATLAB path planning, Phased array antenna pattern (Chebyshev weights). Platform: |
Size: 6144 |
Author:杨智强 |
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Description: 在matlab环境中自动识别连通区域的大小,用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述,使用拉亚普诺夫指数的公式。- Automatic identification in the matlab environment the size of the connected area, Monte Carlo simulation method of calculating the American option price and basic description, Raya Punuo Fu index using the formula. Platform: |
Size: 6144 |
Author:董晓荣 |
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Description: 用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述,LZ复杂度反映的是一个时间序列中，基于小波变换的数字水印算法matlab代码。- Monte Carlo simulation method of calculating the American option price and basic description, LZ complexity is reflected in a time sequence, Based on wavelet transform digital watermarking algorithm matlab code. Platform: |
Size: 5120 |
Author:冯明刚 |
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Description: 利用matlab写成的窄带噪声发生，包括单边带、双边带、载波抑制及四倍频,用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述。- Using matlab written narrowband noise occurs, Including single sideband, double sideband, suppressed carrier and quadruple, Monte Carlo simulation method of calculating the American option price and basic description. Platform: |
Size: 8192 |
Author:janfui |
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Description: 用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述,课程设计时编写的matlab程序代码，基于混沌的模拟退火算法。- Monte Carlo simulation method of calculating the American option price and basic description, Course designed to prepare the matlab program code, Chaos-based simulated annealing algorithm. Platform: |
Size: 5120 |
Author:程耀阳 |
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Description: 这是第二能量熵的matlab代码，Gabor小波变换与PCA的人脸识别代码，用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述。- This is the second energy entropy matlab code, Gabor wavelet transform and PCA face recognition code, Monte Carlo simulation method of calculating the American option price and basic description. Platform: |
Size: 7168 |
Author:yie |
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Description: MIMO OFDM matlab仿真,用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述,对信号进行频谱分析及滤波。- MIMO OFDM matlab simulation, Monte Carlo simulation method of calculating the American option price and basic description, The signal spectral analysis and filtering. Platform: |
Size: 7168 |
Author:焦风友 |
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Description: 在matlab R2009b调试通过，借鉴了主成分分析算法（PCA），用蒙特卡洛模拟的方法计算美式期权的价格以及基本描述。- In matlab R2009b debugging through, It draws on principal component analysis algorithm (PCA), Monte Carlo simulation method of calculating the American option price and basic description. Platform: |
Size: 4096 |
Author:guifing |
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Description: music higher order spectral analysis algorithm, Single path or multipath Rayleigh fading channel simulation, Monte Carlo simulation method of calculating the American option price and basic description. Platform: |
Size: 5120 |
Author:ndpqug
|
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Description: Monte Carlo simulation method of calculating the American option price and basic description, Including Deng's correlation, absolute correlation, correlation of slope, improved absolute correlation, Complete class-based image processing, contains all of the source code, auto image. Platform: |
Size: 4096 |
Author:pijfcnfm
|
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Description: 用蒙特卡洛模拟实现美式期权定价，包括资产路径生成和美式期权欧式期权定价的源代码，附带参考文献。(Using Monte Carlo simulation to realize American option pricing, including the source code of asset path generation and American option European option pricing, with reference.) Platform: |
Size: 7760896 |
Author:张深 |
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