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Espen Haug

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31 Aug 1999 MCSpreadOption.m Monte Carlo Simulation Spread Options Author: Espen Haug finance, carlo, analysis, monte, modeling, simulation 16 4
  • 3.0
3.0 | 3 ratings
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30 Aug 2011 MCSpreadOption.m Monte Carlo Simulation Spread Options Author: Espen Haug Devauld, Wes

The For loop can be replaced with:

---Code Start
   Epsilon1 = normrnd(zeros(nSimulations,1),1);
   Epsilon2 = rho * Epsilon1 + normrnd(zeros(nSimulations,1),1) ...
               .* sqrt(ones(nSimulations,1) - rho ^ 2);
   St1 = S1 * exp(Drift1 + v1Sqrdt * Epsilon1);
   St2 = S2 * exp(Drift2 + v2Sqrdt * Epsilon2);
   price = exp(-r * T) * (sum(max(z * (St1 - St2 - X), 0)) / nSimulations);
---Code End
25 Mar 2007 MCSpreadOption.m Monte Carlo Simulation Spread Options Author: Espen Haug Shvorob, Dimitri

A rather trivial (a dozen lines, essentially, a few of those perfectly avoidable) and not too well-written (twelve input arguments? how about using a structure?) program, posted, it seems, to advertize the author's book. (Is it really the most accessible reference on spread options?)

 implements some

10 Sep 2003 MCSpreadOption.m Monte Carlo Simulation Spread Options Author: Espen Haug Hsieh, Chris

Well-written program. thanks for the sharing
28 Aug 2003 MCSpreadOption.m Monte Carlo Simulation Spread Options Author: Espen Haug Schröder, Lothar

can you please send me the full code, i can not download it

thanks

lothar
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analysis, carlo, finance, modeling, monte
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31 Aug 1999 MCSpreadOption.m Monte Carlo Simulation Spread Options Author: Espen Haug finance, carlo, analysis, monte, modeling, simulation 16 4
  • 3.0
3.0 | 3 ratings

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