Log-Uniform Jump-Diffusion Model 1.0

Date Added: July 04, 2013 | Visits: 464

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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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