Discrete Time Option Pricer for Jump Diffusion Processes 1.0

Date Added: August 25, 2013 | Visits: 484

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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): 1833-1863.

Requirements: No special requirements

Platforms: Matlab

Keyword: 1993for, Builds, December, Diffusion, Discrete, Finance, Instructuions, Journal, Jump, Kaushik, Methodology, Multinomial, Option, Price, Pricer, Time, Valuation

Users rating: 0/10

License: Freeware

Size: 61.44 KB

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