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Log-Uniform Jump-Diffusion Model 1.0

  Date Added: July 04, 2013  |  Visits: 219

Log-Uniform Jump-Diffusion Model

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JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.Algorithm used: Monte Carlo with antithetic and control variates techniques.JDimpv : Compute the implied volatilities from the market values of European calls using a Log-Uniform Jump-Diffusion model. (the input "value" may be a matrix)BS.m: Compute European call option price using the Black-Scholes model (used in JDprice)Acknowledgements:Thanks to Zongwu Zhu and Floyd B. Hanson for their paper"A Monte-Carlo Option-Pricing Algorithm for Log-Uniform".

Requirements: No special requirements
Platforms: Matlab
Keyword: Algorithm Blackscholes Calls Floyd Hanson Input Jdpriceacknowledgementsthanks Loguniform Loguniformquot Market Matrixbsm Model Montecarlo Optionpricing Paperquota Quotvaluequot Values Zongwu
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License: Freeware Size: 10 KB
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