Pricer

To calculate the price the pricer builds a multinomial tree, as described in Amin 1993.For description of the methodology please see;1. The HTML instructuions in the zip2. Kaushik I. Amin, d-deDUJump Diffusion Option Valuation in Discrete Time,d-deDt Journal of Finance 48, no. 5 (December 1993):...


Platforms: Matlab

Closed Form Option Pricer for Jump Diffusion Processes


Platforms: Matlab

Compute European call option price using the Heston model and a conditional Monte-Carlo method [call_prices, std_errs] = Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)*******************************************************************************INPUTS: S0 - Current price of the underlying...


Platforms: Matlab

This file has been updated as of 12 March. I believe it is now more accurate and more flexible, but it's still not the real thing. JPMorgan's source code has been made available at www.cdsmodel.com, I have not yet compared my implementation with theirs.This program is still based on the paper by...


Platforms: Matlab