Estimates the parameters of the two factor CIR model on the UK German, and US term structures.
5 years ago
Estimates the parameters of the CIR model on a generated term structure
Estimates the parameters of the Vasicek model on a generated term structure
Finds value of a European option using lattice methodology under a Merton Jump Diffusion process.
Set of simulations you can run on JDEuropean, and JDClosed
Closed Form Option Pricer for Jump Diffusion Processes
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