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Commodity-One-Factor-Spot-Model

于 2011-06-10 发布文件大小:258KB

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采用Clewlow and Strickland 单要素日现货模型，利用Monte Carlo方法模拟商品现货价格的Matlab程序。(Commodity Model One Factor Spot Model：This code simulates commodity spot prices using the Clewlow and Strickland one factor daily spot model using a Monte Carlo approach. The derived stochastic differential equations (SDEs) are solved using several finite difference schemes.)

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