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Discrete Time Option Pricer for Jump Diffusion Processes 1.0

  Date Added: August 25, 2013  |  Visits: 254

Discrete Time Option Pricer for Jump Diffusion Processes

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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
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License: Freeware Size: 61.44 KB
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