Monte Carlo Simulation and .....rar
   

不要沉 高手快来    给个思路

继续顶~   求赐教

不用花钱的
你可以参考cevsim.m
  http://www.mathworks.com/matlabc ... ss/content/cevsim.m

也可以参考MONTE CARLO SIMULATION AND FINANCE.pdf
page 171/399
function s=simcev(n,r,sigma,So,T,gam)
% simulates n sample paths of a CEV process on the
% interval [0,T] all with
% the same starting value So. assume gamma !=1.
Yt=ones(n,1)*(Soˆ(1-gam))/(1-gam); y=Yt;
dt=T/1000; c1=r*(1-gam)/sigma; c2=gam*sigma/(2*(1-gam));
dw=normrnd(0,sqrt(dt),n,1000); for i = 1:1000
v=find(Yt);
% selects positive components of Yt for update
Yt=max(0,Yt(v)+(c1.*Yt(v)-c2./Yt(v))*dt+dw(v,i));
y=[y Yt];
end
s=((1-gam)*max(y,0)).ˆ(1/(1-gam)); %transforms to St

谢谢你 请问MONTE CARLO SIMULATION FINANCE这本书您有电子版么,我在坛子里搜不到这本.