Theta

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

Computes Disk Harmonic Functions; uses Bessel functions and derivatives Requires BessDerivZerosBisect2.mfunction dnm = DiskHarmonic(m,n,r,theta) if(m == 0) dnm = 1*Rnm elseif(m 0) dnm = sqrt(2)*Rnm.*cos(mu*theta) end m0: dnm(r,theta) = sqrt(2)*Rnm(r)*cos(m*theta) (m = |mu|) n = 0,1,2,... m =...


Platforms: Matlab

This will perform the same function as Matlab built-in function ATAN2 butsafely guarded against erroneous results when the inputs are very small (near to a machine zero).Due to the round off errors in the numerical calculations, the twoinputs to ATAN2, Y and X, had better be thought as x=x_exact...


Platforms: Matlab

This simulink model simulates the damped driven pendulum, showing it's chaotic motion.theta = angle of pendulumomega = (d/dt)theta = angular velocityGamma(t) = gcos(phi) = Forceomega_d = (d/dt) phiGamma(t) = (d/dt)omega + omega/Q + sin(theta)Play with the initial conditions (omega_0, theta_0,...


Platforms: Matlab