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: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2010
|
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-26141 |
| Summary: | 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 under the constant elasticity model by exact Monte Carlo simulation. The procedure and the mathematical background behind constructing the program are described and explained. We show the results obtained and an analysis is made based on the MATLAB program. |
|---|