COS Method (Multiple Strikes, Bermudan, Greeks)

Version 1.1.0.0 (18,5 KB) von Kienitz Wetterau FinModelling
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
0.0
(0)
1,7K Downloads
Aktualisiert 25. Sep 2012

Lizenz anzeigen

This illustrates results from Chapter 6 of the WILEY Finance book Financial Modelling by Joerg Kienitz and Daniel Wetterau.

We implement the COS Transform method for option pricing for advanced models such as Heston, CGMY, Variance Gamma, etc.

We cover pricing and calculation of Greeks for European and Bermudan options doing multiple strikes using vector methods.

Zitieren als

Kienitz Wetterau FinModelling (2025). COS Method (Multiple Strikes, Bermudan, Greeks) (https://www.mathworks.com/matlabcentral/fileexchange/37617-cos-method-multiple-strikes-bermudan-greeks), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2012a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Risk Management Toolbox 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_Method_Bermudan_Mult_Strikes/

Version Veröffentlicht Versionshinweise
1.1.0.0

Minor bug:
File: TestCOS_Barrier
Line 65: pricefunc__DownAndOut (dubble underscore)

1.0.0.0