| m file |
Description |
| simdtree1.m |
Graphical representation of a binomial tree. |
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| binomtree.m |
Returns the option price (European call or put), the option value matrix and the underling price matrix of a binomial tree. |
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| binomcp.m |
A function that tests binomial tree model for call and put evaluation. Calls the BinomTree.m function. |
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| binomcp2.m |
Estimates binomial tree model for a set of N. Checks accuracy of computation Also investigates how long it takes to evaluate tree. |
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| binomcp3.m |
Calls to binomial tree procedure to perform a comparative static exercise (i.e. compare option prices as a function of parameters). |
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| BrownianAnimate.m |
Various programs that a brilliant student sent to me. Displays bi-dimensional trajectories of Brownian motions |
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| BrownianMotion.m |
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| BSCall.m |
Returns the European call option price using Black-Scholes. |
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| BSPut.m |
Returns the European put option price using Black-Scholes. |
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| BSCallD.m |
Black-Scholes formula for a call written on a dividend paying asset. |
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| BSPutD.m |
Black-Scholes formula for a put written on a dividend paying asset. |
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| HestonCall.m |
Computes the option price using Heston's model. See 'Financial Modeling Under Non-Gaussian Distributions' Page 426.
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| Test_HestonCALL.m |
Tests the formula of Heston's call. |
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| CF_SVj.m |
Implements the Characteristic Function of Heston's model (Stochastic Volatility). Uses Heston's notations. See 'Financial Modeling Under Non-Gaussian Distributions' Page 429. |
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| Testbs1.m |
Tests the Black-Scholes call and put formulas with the put call parity. |
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| BSCallHR.m |
Returns the hedging ratio (delta) of a European call option using B-S formula. |
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| BS_delta_call.m |
Returns the delta for a European call option. |
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| BS_delta_put.m |
Returns the delta for a European put option. |
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| BS_gamma_call.m |
Returns the gamma for a European call option. |
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| BS_gamma_put.m |
Returns the gamma for a European put option. |
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| BS_rho_call.m |
Returns the rho for a European call option. |
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| BS_rho_put.m |
Returns the rho for a European put option. |
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| BS_theta_call.m |
Returns the theta for a European call option. |
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| BS_theta_put.m |
Returns the theta for a European put option. |
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| BS_vega_call.m |
Returns the vega for a European call option. |
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| BS_vega_put.m |
Returns the vega for a European put option. |
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| gphgreek.m |
Displays some of the Greeks as the underlying varies. |
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| BSviaNumInt.m |
Uses a simple integration rule to compute numerically the price of a call option. |
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| CallSim1.m |
Simulates trajectories of geometric Brownian motions in a risk neutral world and returns the European call option price. |
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| CallSim2.m |
A function with antithetic variables. |
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| TestCallSim.m |
The calling program for CallSim2.m. May be extended for timing purpose. |
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| Simulation of geometric Brownian motion and implementation of dynamic hedging strategy. |
| HedgeEx.m |
Computes black-scholes option price then implements daily hedging strategy. |
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| simhedg.m |
Simulates price trajectory at 5 minute level. Horizon over which option is simulated is NbDays. once trajectory is constructed extract data for time where one wants to hedge creates a module that constructs for a given price series a dynamic hedging strategy. |
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| SimInsPort.m |
Hedge dynamically payoff of an insured portfolio cash + call. simulates price trajectory at 5 minute level. Horizon over which option is simulated is NbD days. once trajectory is constructed extract data for time where one wants to hedge creates a module that constructs for a given price series a dynamic hedging strategy. |
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| SimInsPortsSV.m |
Hedge dynamically payoff of an insured portfolio cash + call in a stochastic volatility model. Simulates price trajectory at 5 minute level. Horizon over which option is simulated is NbD days. Once trajectory is constructed extract data for time where one wants to hedge creates a module that constructs for a given price series a dynamic hedging strategy. |
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| Stkldx.m |
Some Stock index data for Getdata.m |
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| GetData.m |
A program to read and display the stock index data. |
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| Second_order_simHest.m |
Simulation of Heston's model (Implements a second order scheme). |
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| TraceVolat.m |
Traces the continuosu time volatiliy processs. |
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