文件名称:Commodity-One-Factor-Spot-Model
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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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下载文件列表
ClewlowStricklandOneFactorSDE.pdf
ClewlowStrickland_1FactorMC_Daily.m
ClewlowStrickland_1FactorMC_DailyInterp.m
DescriptStats.m
MAPEcalc.m
MCControlDailySpotPrice.m
FCData.mat
license.txt
ClewlowStrickland_1FactorMC_Daily.m
ClewlowStrickland_1FactorMC_DailyInterp.m
DescriptStats.m
MAPEcalc.m
MCControlDailySpotPrice.m
FCData.mat
license.txt