https://github.com/keplerc/164-project
https://github.com/keplerc/164-project
Last synced: 10 months ago
JSON representation
- Host: GitHub
- URL: https://github.com/keplerc/164-project
- Owner: KeplerC
- Created: 2019-03-23T02:29:08.000Z (over 7 years ago)
- Default Branch: master
- Last Pushed: 2019-03-24T06:10:59.000Z (over 7 years ago)
- Last Synced: 2025-03-21T01:17:43.356Z (over 1 year ago)
- Language: MATLAB
- Size: 3.91 KB
- Stars: 0
- Watchers: 0
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# 164 Project
### File Description
* Filter.m: We filter out low quality data
* Find_min_sig: calculating historical volatility
* newton_method: using newton method to find volatility
* price_surface_fit_Cubic: use cubic surface to find price
* price_surface_fit_plate: use plate surface to find price
* test.m: test historical volatility
* Test_T_3: use T=3, find MSE
* B_S: helper function for B-S model
* deriv_d: newton method finding derivative
* His_Sig: find historical volatity by any two days