Lectures 70-71: Computationally simple treesBuilding computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB…
From Tiziano Vargiolu
| 6
6 plays
| 0
|
|
Lecture 3: binomial approximationBinomial random walk. Convergence in distribution to a Brownian motion
From Tiziano Vargiolu
| 30
30 plays
| 0
|