Modern Pricing Method using Transforms

版本 1.1.0.0 (72.3 KB) 作者: Kienitz Wetterau FinModelling

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

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更新时间 2012/9/25

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This collection illustrates the methods from chapters 5 and 6 from the book Financial Modelling co authored by Joerg Kienitz and Daniel Wetterau.

We cover the COS and CONV method for derivatives pricing using advanced models (Stochastic Volatility, Levy, Stochastic Volatility Levy, Jump Diffusions, etc.).

The methods are applicable for pricing Europeans, Bermudans and American options.

引用格式

Kienitz Wetterau FinModelling (2024). Modern Pricing Method using Transforms (https://www.mathworks.com/matlabcentral/fileexchange/37616-modern-pricing-method-using-transforms), MATLAB Central File Exchange. 检索来源 2024/10/2.

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参考作品: FinancialModelling_Ch2_ImpliedVolatility, Risk Neutral Densities for Financial Models

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Cos_Conv_Methods/

版本	已发布	发行说明
1.1.0.0	2012/9/25	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	下载
1.0.0.0	2012/7/25		下载

Modern Pricing Method using Transforms