FinancialModelling_​Ch2_ImpliedVolatili​ty

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models

This is material from the book
Financial Modelling: Theory, Implementation and Practice with Matlab source from Joerg Kienitz and Daniel Wetterau, WILEY, September 2012

Pricing Call Options for advanced financial models using FFT and the Carr-Madan or the Lewis Method. We cover:

Diffusion:
Bachelier, Black-Scholes, CEV, Displaced Diffusion, Hull-White

Stochastic Volatility:
Heston, SABR, Displaced Diffusion Heston, Heston-Hull-White

Jump-Diffusion:
Merton, Bates, Bates-Hull-White

Levy:
Variance Gamma, Normal Inverse Gaussian

Levy+Stochastic Volatility:
Gamma Ornstein-Uhlenbeck and CIR clock