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Code Listing by Rodolphe Sitter

Code 1-8 of 8   

Compute European call option price using the Heston model and a conditional Monte-Carlo method

[call_prices, std_errs] = Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)


S0 - Current price of the underlying asset.
r - Annualized continuously compounded risk-free rate of return over the life of the option,...

Compute the estimated average number of coin tosses (or dice throws) to get a given sequence of Heads-and-Tails (or a sequence of intergers ranging from 1 to 6)

The inputs are:
- The Sequence (row vector)
- The Number of...

- Plot arithmetic and geometric Brownian motions
- Plot Brownian bridges, 2D and 3D Brownian motions
- Plot some random paths for the the interest spot rate:
The two models you can chose from are the Vasicek and the Cox-...

The file creates a GUI interface. You can select a Greek from the pop-up menu, then click one of the plot-ty

The function OutcomeSequence.m solve brain teasers such as:

1. You toss a coin, what is the expected number of tosses for you to get the sequence 'Tails-Heads-Tails' ?

2. You throw a dice, what is the expected number of...

JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.
Algorithm used: Monte Carlo with antithetic and control variates techniques.

JDimpv : Compute the implied volatilities from the market values...

Bootstrap the yield curve, discount curve and the forward curve from market data

***************** BOOTSTRAPPING RESULTS **********************

Time (Years)| Yield Curve | Discount Curve| Forward Curve |

fxoptions( S0, X, rd, rf, T, vol, style)

Valuation of European and American call and put options on foreign exchange using Garman-Kohlhagen model.
European option prices are given by an exact formula (Garman-Kohlhagen).