Modern Pricing Method using Transforms

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.

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2012/9/24
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Kienitz Wetterau FinModelling (2026). Modern Pricing Method using Transforms (https://ww2.mathworks.cn/matlabcentral/fileexchange/37616-modern-pricing-method-using-transforms), MATLAB Central File Exchange. 检索时间: .

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1.1.0

Change, resp. add:
TestCONV_alpha_Dependence, TestCONV_L_Dependence
TestConvergence_COS_CONV
TestCOS_Bermudan
TestCOS_L_Dependence
TestCOSMethod
NEW: FFTCOS_B_2, calcv_2, coeff_b_2, cvalue_2, xstar_2, TestCOS_Bermudan & FFTCOS_B_2
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1.0.0

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