Valuation of exotic options under the Constant Elasticity of Variance model by exact Monte Carlo simulation : A MATLAB GUI application
Diffusions are broadly used in mathematical finance for modeling asset prices. We consider the exact path sampling of a constant elasticity of variance diffusion model obtained from a squared Bessel process. We have created a MATLAB GUI (Graphical User Interface) program to evaluate exotic options u...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2010
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-26141 |