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COS Method (Multiple Strikes, Bermudan, Greeks)

Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once

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Updated 25 Sep 2012

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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.

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Updates

1.1.0.0

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

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux