brownianbridge
所属分类:matlab编程
开发工具:matlab
文件大小:1KB
下载次数:10
上传日期:2009-03-23 22:29:02
上 传 者:
rajshek
说明: An example case is considered to price an option at a maturity of T years - prices are simulated for Geometric brownian motion process at 2*T maturity, and Brownian Bridge is used to obtain prices at T maturity. Finally option prices are compared to Black Scholes values to verify results
(An example case is considered to price an option at a maturity of T years- prices are simulated for Geometric brownian motion process at 2*T maturity, and Brownian Bridge is used to obtain prices at T maturity. Finally option prices are compared to Black Scholes values to verify results)
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brownianbridge.m (1246, 2009-03-23)
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