Modern Pricing Method using Transforms

Versione 1.1.0.0 (72,3 KB) da Kienitz Wetterau FinModelling
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
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Aggiornato 25 set 2012

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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.

Cita come

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. Recuperato .

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Cos_Conv_Methods/

Versione Pubblicato Note della release
1.1.0.0

Change, resp. add:
TestCONV_alpha_Dependence, TestCONV_L_Dependence
TestConvergence_COS_CONV
TestCOS_Bermudan
TestCOS_L_Dependence
TestCOSMethod
NEW: FFTCOS_B_2, calcv_2, coeff_b_2, cvalue_2, xstar_2, TestCOS_Bermudan & FFTCOS_B_2
1.0.0.0