brownianbridge
于 2009-03-23 发布
文件大小:1KB
0 168
下载积分: 1
下载次数: 9
代码说明：
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)
下载说明：请别用迅雷下载，失败请重下，重下不扣分！
发表评论
