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