COS Method (Multiple Strikes, Bermudan, Greeks)

Versione 1.1.0.0 (18,5 KB) da Kienitz Wetterau FinModelling
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
0.0
(0)
1,7K download
Aggiornato 25 set 2012

Visualizza la licenza

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.

Cita come

Kienitz Wetterau FinModelling (2024). COS Method (Multiple Strikes, Bermudan, Greeks) (https://www.mathworks.com/matlabcentral/fileexchange/37617-cos-method-multiple-strikes-bermudan-greeks), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2012a
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Risk Management Toolbox in Help Center e 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/

Versione Pubblicato Note della release
1.1.0.0

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

1.0.0.0