美式期权定价

收录时间:2014-04-09
资源分类:Matlab 工具:MATLAB 7.4 (R2007a)

该程序进行了美式期权定价。

主要内容包括:

通过CRR树进行定价选择

有限差别定价

蒙特卡洛方法实现定价

 

 

Pricing American Options

A zip file containing the examples that were used in the webinar: "Teaching and Research of Computational Finance with MATLAB"

 

Including:

* GUI for pricing an options via CRR tree

* Script for priocing via Finitie differences

* GUI for pricing via the Monte Carlo method of Longstaff and Schwartz

* Functions to implement all three methods

文件下载列表
American%20Options.zip (243.24KB)  
附件内容(只显示18中的10个)
AmericanOptCRR.m  AmericanOptFD.m  AmericanOptLSM.m  BlackScholesFcn.m  Comparison_Script.m  Contents.m  CreateFDPlot.m  FD_method.m  LSM_Plot.m  PlotCRRTree.m  
标签: CRR 期权定价 
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