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Script for simulating a trajectory of a Brownian motion with drift
(Brownian_motion_trajectory_simulation (1).R, 357B)
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Plot for the trajectory of Brownian motion with drift
(Brownian_motion_trajectory.png, 4KB)
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Script for simulating trajectories of geometric Brownian motion
(Geometric_Brownian_motion.R, 831B)
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Plot of the trajectories of geometric Brownian motion
(Geometric_Brownian_motion.png, 18KB)
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Script for simulating Binomial model
(Binomial_model.R, 2KB)
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Binomial plot 1
(Rplot_Binomial_1.pdf, 8KB)
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Binomial plot 2
(Rplot_Binomial_2.pdf, 8KB)
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Package fOptions description
(fOptions.pdf, 140KB)
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Package SDE Description
(sde.pdf, 207KB)
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Black-Scholes formulas
(Black-Scholes_formulas.R, 1KB)
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Monte Carlo Black-Scholes
(Monte_Carlo_Black_Scholes.R, 1KB)
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Greeks
(Greeks.R, 647B)
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Implied Volatility
(Implied_volatility.R, 1KB)
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options data file
(options_data.csv, 9KB)
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Implied volatility smile plot
(Implied_Volatility_against_Strike_Plot_volatility_smile.pdf, 8KB)
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Implied volatility smile plot
(Implied_Volatility_against_Strike_Plot_volatility_smile.pdf, 8KB)
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