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Average, lookback and other exotic options We now look at a type of options that has received a lot of attention in later years. The distinguishing factor of these options is that they depend on the whole price path of the underlying security between today and the option maturity. Bermudan options A Bermudan option is, as the name implies,13.1 a mix of an European and American option. It is a st..

clc; clear; %Random Generating Numbers n=10000; %12 Uniform Random Number Method a=rand(n,12); new_rand=zeros(n,1); for i=1:12 new_rand = new_rand+ a(:, i) end norm_rand = new_rand - 6; subplot(1,3,1); histfit(norm_rand); xlabel('12-Method'); %Box-Muller Method U1=rand(n,1); U2=rand(n,1); BXNORM=sqrt(-2*log(U1)).*cos(2*pi*U2); subplot(1,3,2); histfit(BXNORM); xlabel('Box-Muller Method'); %Polar ..

// Switch/case를 이용한 European OPtion Pricing 계산기(Black-Scholes Model 이용) // by remings(http://remings.tistory.com) // For my C++ Educational Purpose #include #include using namespace std; //Cumulative Normal Distribution Code double N(const double x) { const double b1 = 0.319381530; const double b2 = -0.356563782; const double b3 = 1.781477937; const double b4 = -1.821255978; const double b5 = 1...

#include using namespace std; int main() { int i=2; int j=1; while(i

Public Sub ThreeWeight() Dim i As Double, j As Integer Dim s As Worksheet Dim N As Double Dim sum As Double Dim cel As Double Dim a(2) As Double Set s = Sheet1 N = 60000 For i = 1 To N For j = 1 To 3 s.Cells(i, j) = Rnd() Next j Next i For i = 1 To N For j = 1 To 3 a(j - 1) = s.Cells(i, j) Next j '3가지 rand()의 합계구함 sum = a(0) + a(1) + a(2) For j = 1 To 3 s.Cells(i, j + 4) = a(j - 1) / sum Next j ..

'Normal dist. Random number Generator Option Explicit Sub B_M_G() Const pi = 3.14159265358979 Dim i As Integer, N As Double Dim u1 As Double, u2 As Double, u3 As Double Dim a1 As Double Dim p1 As Double, p2 As Double Dim nr1 As Double, nr2 As Double, nr3 As Double Dim s As Worksheet Set s = Sheet1 N = InputBox("얼마나 생성할까?", "생성하고 싶은 개수") For i = 0 To N 'Box-Muller Generator u1 = Rnd() u2 = Rnd() ..

삼성전자 포스코 하이닉스 Portfolio Feasible Set Efficient Frontier

(첫 페이지 소개중에서..) PopTools is a versatile add-in for PC versions of Microsoft Excel (97, 2000 or XP) that facilitates analysis of matrix population models and simulation of stochastic processes. It was originally written to analyse ecological models, but has much broader application. It has been used for studies of population dynamics, financial modelling, calculation of bootstrap and resampling s..