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updated almost 10 years ago

Put option pricing (plain vanilla) by Wilmer Henao

Calculation of plain vanilla option price using explicit, implicit and crank nicolson schemes. (finance, modeling, analysis)

BlScholescnv2(r, q, K, T, S, sig, Nx, Nt)

BlScholesimplv2(r, q, K, T, S, sig, Nx, Nt)

BlScholesv2(r, q, K, T, S, sig, Nx, Nt)

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updated almost 11 years ago

Field of values by Wilmer Henao

Plots the field of values of a square complex matrix. (linear algebra, field of values, eigenvalue)


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updated 11 years ago

Hodrick-Prescott Filter by Wilmer Henao

Finds the Hodrick-Prescott filter of a series. (finance, modeling, analysis)


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