Modern Pricing Method using Transforms
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.
Citation pour cette source
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. Récupéré le .
Compatibilité avec les versions de MATLAB
Plateformes compatibles
Windows macOS LinuxCatégories
Tags
Remerciements
Inspiré par : FinancialModelling_Ch2_ImpliedVolatility, Risk Neutral Densities for Financial Models
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Découvrir Live Editor
Créez des scripts avec du code, des résultats et du texte formaté dans un même document exécutable.
Cos_Conv_Methods/
Version | Publié le | Notes de version | |
---|---|---|---|
1.1.0.0 | Change, resp. add:
|
||
1.0.0.0 |