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updated almost 2 years ago

Fixed Grid and Stochastic Grid Monte Carlo Sampling by Kienitz Wetterau FinModelling

We cover two methods for sampling from Jump Diffusion Models (merton model, fgs, sgs)

MC_merton_fgs(S,r,sigma,T, ...

MC_merton_sgs(S,r,sigma,T, a,b,lambda,NSim)

MertonPrice(Spot,Strike,sigma,r,T,a,b,lambda,n_max)

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