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Code Listing by Nils Delava

Code 1-6 of 6   






Set of simulations you can run on, and JDClosed
**Calls JDEuropean.m & JDClosed.m



To calculate the price the pricer builds a multinomial tree, as described in Amin 1993.

For description of the methodology please see;

1. The HTML instructuions in the zip
2. Kaushik I. Amin, d-deDUJump Diffusion Option...



Closed Form Option Pricer for Jump Diffusion Processes



2 .m files, 3 xls files with data from German, US, UK zero coupon bonds.
Files estimate the parameters on these bonds, the optimizer doesn't really work that well for this problem, so if some-one has a solution, please let me know.



3 .m files, 1) simulates a term structure using the vasicek model, 2-3) take this simulation and estimates the parameters of the model.

If the implementation is good, the inputs should equal the outputs, run this 200 times.



3 .m files, 1) simulates a term structure using the CIR model, 2-3) take this simulation and estimates the parameters of the model.
also includes a set of results, take mean() and std() of this to see how good the filter is.

If the...