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Jul 28

Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model

Posted by abiao at 08:06 | Code » Java | Comments(0) | Reads(10053)
Table with Java sources


Closed expressions and Approximate Models for various Financial Option on Equity
Binary Tree method to Price Options on Equity
Monte Carlo pricer of Exotics
Monte Carlo Pricer of American Calls and Puts
Monte Carlo Pricer of European Barrier, Knock in and out Options
Monte Carlo Pricer European Spread Options
Monte Carlo Pricer of Interest Rate Derivatives (One factor)
Monte Carlo Pricer Ho Lee Model
Monte Carlo Pricer Hull White Model
Monte Carlo Pricer Black Derman Toy Model
Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model
Monte Carlo pricer of exotics with constant Jump-Diffussion
Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion
Monte Carlo Pricer European Spread Options with Jump-Diffusion


http://www.javaquant.net/downloads.html
wiki(LIBOR Market Model)


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