Asian Option Price using Monte Carlo simulation [Octave Matlab]

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Category: Matlab	View Full Details
Asian Option Price using Monte Carlo simulation
Submitter: vanna	Date: 2009/4/17

Description: Calculates European Option price for an Discrete steps Arithmentic Asian Option using MC simulation . Following is example output: `octave-3.0.1.exe:3> asianmc [LowerLimit MCPrice UpperLimit] Call Prices : [4.662330 4.679992 4.697655] Put Prices : [2.249154 2.260260 2.271366] [LowerLimit MCPrice UpperLimit]` 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
2633 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Example of Control Variate technique for call option price
Submitter: vanna	Date: 2009/4/16

Description: This script demonstrates application of control variate technique to improve the error for calculation of a vanilla call option price using Monte Carlo simulation In this basic setting, forward price is used as a control variate. Control variate is probably the most effective technique to reduce variance of MC simulation. 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
819 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Call Option price using Monte carlo simulation
Submitter: vanna	Date: 2009/4/16

Description: This code calculates call option price using monte carlo simulation 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
1349 0 bytes Matlab Octave http://www.quantcode.com/
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Category: Matlab	View Full Details
Fredholm integral equation solution by Galerkin Method
Submitter: vanna	Date: 2009/3/12

Description: This script demonstrates calculation of eigen function and eigenvalues for a Fredholm integral equation. 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
627 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Tutorial on Fredholm integral equation
Submitter: vanna	Date: 2009/3/12

Description: This file demonstrates the concept of fredholm integral equation. We take and eigen vector and an arbitrary value of x, and evaluate the 2 sides of the integral equation to verify that results of both sides of the equation match 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
474 0 bytes Octave Matlab http://www.quantcode.com/
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