COS Method (Multiple Strikes, Bermudan, Greeks)

version (18.5 KB) by Kienitz Wetterau FinModelling
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once


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.

Cite As

Kienitz Wetterau FinModelling (2022). COS Method (Multiple Strikes, Bermudan, Greeks) (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
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