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Demonstrations 1 - 20 of 37
The Price of a Call Option on Electrical PowerThe Difference between European Option Prices in the Black-Scholes and NIG Models Computed with the DFTThe Esscher Transform of the Densities of a Symmetric NIG Lévy ProcessThe Russian Option: Reduced Regret
The Price of a Call Option on Electrical PowerThe Difference between European Option Prices in the Black-Scholes and NIG Models Computed with the DFTThe Esscher Transform of the Densities of a Symmetric NIG Lévy ProcessThe Russian Option: Reduced Regret
Option Prices in the Variance Gamma ModelLévy MeasuresThe Black-Scholes European Call Option Formula Corrected Using the Gram-Charlier ExpansionThe Normal Inverse Gaussian Lévy Process
Option Prices in the Variance Gamma ModelLévy Measures
Made for Mathematica 7
The Black-Scholes European Call Option Formula Corrected Using the Gram-Charlier Expansion
Made for Mathematica 7
The Normal Inverse Gaussian Lévy Process
Made for Mathematica 7
Option Prices under the Fractional Black-Scholes ModelGeneralized Hyperbolic DistributionThe Structure of the Real Roots of a Quintic PolynomialImplied Volatility in the Variance Gamma Model
Option Prices under the Fractional Black-Scholes Model
Made for Mathematica 7
Generalized Hyperbolic Distribution
Made for Mathematica 7
The Structure of the Real Roots of a Quintic Polynomial
Made for Mathematica 7
Implied Volatility in the Variance Gamma Model
Made for Mathematica 7
The Number of Distinct Real Roots of a Real PolynomialThe Variance Gamma ProcessThe Return Distribution of the Variance Gamma ProcessStable Lévy Process
The Number of Distinct Real Roots of a Real Polynomial
Made for Mathematica 7
The Variance Gamma Process
Made for Mathematica 7
The Return Distribution of the Variance Gamma Process
Made for Mathematica 7
Stable Lévy Process
Made for Mathematica 7
The Poisson ProcessRobustness of the Longstaff-Schwartz LSM Method of Pricing American DerivativesEstimating Conditional Expectations with Monte Carlo Simulation and Least Squares RegressionPricing a Bermudan Option with the Longstaff-Schwartz Monte Carlo Method
The Poisson Process
Made for Mathematica 7
Robustness of the Longstaff-Schwartz LSM Method of Pricing American Derivatives
Made for Mathematica 7
Estimating Conditional Expectations with Monte Carlo Simulation and Least Squares Regression
Made for Mathematica 7
Pricing a Bermudan Option with the Longstaff-Schwartz Monte Carlo Method
Made for Mathematica 7

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