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Monte Carlo Simulation and Derivatives Pricing

version (353 KB) by Kienitz Wetterau FinModelling
Monte Carlo Schemes for advanced models and pricing of derivatives


Updated 25 Jul 2012

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Illustrates methods from Chapter 7 of the Wiley Finance series title Financial Modelling by Joerg Kienitz and Daniel Wetterau. e
We cover Monte Carlo simulation by considering path discretisation for advance models including:
Black-Scholes, Merton, Heston, Bates, Variance Gamma, NIG, SABR, VGGOU, VGCIR, NIGGOU, NIGCIR, CEV, Displaced Diffusion.

The files includes the popular QE scheme for discretizing Heston. We also cover direct and subordinator simulation for Levy processes.

Cite As

Kienitz Wetterau FinModelling (2021). Monte Carlo Simulation and Derivatives Pricing (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (2)

Michal Krupka

How to modifiy the simulation procedure from MC_VG_S.m to obtain VGSSD process (variance gamma scaled self decomposable process) described here: ?


MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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