Monte Carlo Simulation and Derivatives Pricing
Illustrates methods from Chapter 7 of the Wiley Finance series title Financial Modelling by Joerg Kienitz and Daniel Wetterau. e
We cover Monte Carlo simulation by considering path discretisation for advance models including:
Black-Scholes, Merton, Heston, Bates, Variance Gamma, NIG, SABR, VGGOU, VGCIR, NIGGOU, NIGCIR, CEV, Displaced Diffusion.
The files includes the popular QE scheme for discretizing Heston. We also cover direct and subordinator simulation for Levy processes.
Cite As
Kienitz Wetterau FinModelling (2021). Monte Carlo Simulation and Derivatives Pricing (https://www.mathworks.com/matlabcentral/fileexchange/37618-monte-carlo-simulation-and-derivatives-pricing), MATLAB Central File Exchange. Retrieved .
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How to modifiy the simulation procedure from MC_VG_S.m to obtain VGSSD process (variance gamma scaled self decomposable process) described here: http://www.ucd.ie/t4cms/WP-10-04.pdf ?