American Option in VG model using LSM [Octave Matlab]

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American Option in VG model using LSM
Submitter: vanna	Date: 2006/12/25

Description: This file contains code for getting option pricein VG model , based on method as described in paper Valuing American Options by simulation : A Simple Least-Squares Approach by Longstaff & Schwartz Results are compared to values as mentioned in table 2 of paper Pricing American Options Under Variance Gamma by Hirsa and Madan Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1381 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Call Options price in VG model using Analytical Formulas
Submitter: vanna	Date: 2006/12/22

Description: Calculates call option price in Variance Gamma model using appoaches as mentioned in Carr's 1998 paper and Semi-Brute force technique as explained in Rebonato's book "volatility and Correlation" Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1553 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Efficient frontier for portfolio
Submitter: vanna	Date: 2006/12/15

Description: Matlab program to plot efficient frontier and minimum variance portfolio Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
3554 0 bytes Matlab http://coweb.math.gatech.edu:8888/elton/51
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Category: Matlab	View Full Details
Barrier Options Pricing
Submitter: vanna	Date: 2006/12/14

Description: Fnds prices for out barrier options Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
3336 0 bytes Matlab http://math.nyu.edu/~atm262/
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Category: Matlab	View Full Details
Local vs. Dupire in Excel and Matlab
Submitter: vanna	Date: 2006/12/14

Description: This is link to This function plot the implied volatility and the local volatility (with different kind of methods) for a set of call price from the real market data with different strikes and maturities.Excel Version Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1906 0 bytes Excel Matlab http://www.performancetrading.it
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