FinancialModelling_​Ch2_ImpliedVolatili​ty

版本 1.0.0.0 (42.6 KB) 作者: Kienitz Wetterau FinModelling
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
5.0
(2)
3.0K 次下载
更新时间 2012/5/7

查看许可证

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 (2024). FinancialModelling_Ch2_ImpliedVolatility (https://www.mathworks.com/matlabcentral/fileexchange/36563-financialmodelling_ch2_impliedvolatility), MATLAB Central File Exchange. 检索时间: .

MATLAB 版本兼容性
创建方式 R2012a
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Price and Analyze Financial Instruments 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

版本 已发布 发行说明
1.0.0.0