Modern Pricing Method using Transforms

Version 1.1.0.0 (72,3 KB) von Kienitz Wetterau FinModelling
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
5.0
(2)
2,3K Downloads
Aktualisiert 25 Sep 2012

Lizenz anzeigen

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.

Zitieren als

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. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2012a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Biomedical Imaging finden Sie in Help Center und MATLAB Answers

Community Treasure Hunt

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

Start Hunting!

Cos_Conv_Methods/

Version Veröffentlicht Versionshinweise
1.1.0.0

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
1.0.0.0