COS Method (Multiple Strikes, Bermudan, Greeks)

Version 1.1.0.0 (18,5 ko) par Kienitz Wetterau FinModelling
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
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Mise à jour 25 sept. 2012

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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.

Citation pour cette source

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. Récupéré le .

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Cos_Method_Bermudan_Mult_Strikes/

Version Publié le Notes de version
1.1.0.0

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

1.0.0.0