Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.

Jul 29

This R program can be used to download option price data from Yahoo to a data frame and to plot the corresponding implied-volatility smiles.

http://www.math.tu-berlin.de/~mkeller/index.php?target=rcode

Jul 28

Posted by abiao at 08:03 | Code » Java | Comments(0) | Reads(5556)

how to price barrier options with jump-diffusion by monte carlo simulations, codes are in Java language.

http://www.javaquant.net/downloads.html

Jul 27

Computes the price of an outperformance option.

http://www.vbnumericalmethods.com/finance/

Jul 27

Calculates the price of a (two-coloured rainbow) option delivering the best of two risky assets or cash.

http://www.vbnumericalmethods.com/finance/

Jul 27

Sample code to price american put option with least square Monte Carlo simulation.

http://quantcode.com/uploads/lsm_monte_carlo.m

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