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.
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. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!