FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
This is material from the book
Financial Modelling: Theory, Implementation and Practice with Matlab source from Joerg Kienitz and Daniel Wetterau, WILEY, September 2012
Pricing Call Options for advanced financial models using FFT and the Carr-Madan or the Lewis Method. We cover:
Diffusion:
Bachelier, Black-Scholes, CEV, Displaced Diffusion, Hull-White
Stochastic Volatility:
Heston, SABR, Displaced Diffusion Heston, Heston-Hull-White
Jump-Diffusion:
Merton, Bates, Bates-Hull-White
Levy:
Variance Gamma, Normal Inverse Gaussian
Levy+Stochastic Volatility:
Gamma Ornstein-Uhlenbeck and CIR clock
引用格式
Kienitz Wetterau FinModelling (2026). FinancialModelling_Ch2_ImpliedVolatility (https://ww2.mathworks.cn/matlabcentral/fileexchange/36563-financialmodelling_ch2_impliedvolatility), MATLAB Central File Exchange. 检索时间: .
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