"Stochastic calculus applied to finance"
Damien Lamberton, Bernard Lapeyre
Work in progress ...
Scilab solutions
- Pricing and hedging in the Cox-Ross-Rubinstein model :
Solution
- Pricing and hedging in the Black-Scholes model :
Solution
- Pricing and hedging bonds and options in the Vasicek model :
Solution
- Monte-Carlo methods for option pricing :
Solution
- Basket options and control variates :
Solution
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