Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models
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Illustrates results and algorithms of Chapter 7 of the Wiley Finance series book Financial Modelling by Joerg Kienitz and Daniel Wetterau.
We cover the sampling from Jump-Diffusion models namely Fixed Grid simulation and Stochastic Grid simulation.
Cite As
Kienitz Wetterau FinModelling (2026). Fixed Grid and Stochastic Grid Monte Carlo Sampling (https://www.mathworks.com/matlabcentral/fileexchange/37621-fixed-grid-and-stochastic-grid-monte-carlo-sampling), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (4.75 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
