Clear Filters
Clear Filters

Coding for jump diffusion models

5 views (last 30 days)
Ashwaq
Ashwaq on 17 Sep 2020
I would like a help in coding this part as they do simulation for stock price when there is a regime switching jump (RSJD)
The" Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options' Paper by Ramponi 2012 have this to get sample path of RSJD
but I do not have any programming experience could anyone help me or guide me ?

Answers (0)

Categories

Find more on Financial Toolbox in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!