Modern Pricing Method using Transforms

버전 1.1.0.0 (72.3 KB) 작성자: Kienitz Wetterau FinModelling

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.

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업데이트 날짜: 2012/9/25

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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.

인용 양식

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. 검색됨 2024/7/27.

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개발 환경: R2012a

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받음: FinancialModelling_Ch2_ImpliedVolatility, Risk Neutral Densities for Financial Models

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Cos_Conv_Methods/

버전	게시됨	릴리스 정보
1.1.0.0	2012/9/25	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	다운로드
1.0.0.0	2012/7/25		다운로드