This repo's main item is gemini.m , a UI that allows you high level of parameter customisation, or automate a slider to view effect over time.
Still a work in progress, in future I will add:
- (T) Expiry timeframe slider
- (S0) Spot/Initial Price
- Monte-carlo simulation option visualiser
Program runs a euler-maryuma process for St and ln(St), as well as using milstein corrections for both. Then compares price and timings for different grid sizes for the discretisations in a final output table.
paper for reference: https://www.frouah.com/finance%20notes/Euler%20and%20Milstein%20Discretization.pdf
Todo:
- add Fourier price
Plots a function, and overplots the fourier series estimation at different iteration levels. And again overplotted with the error of the estimation.
