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matlab例程
Brownian Motion, Option.
Brownian Motion, Option.
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金融证券系统
An example case is considered to price an option at a maturity of T years - prices are simulated for
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 ...