This is material from the book
Financial Modelling: Theory, Implementation and Practice with Matlab source from Joerg Kienitz and Daniel Wetterau, WILEY, September 2012
Pricing Call Options for advanced financial models using FFT and the Carr-Madan or the Lewis Method. We cover:
Diffusion:
Bachelier, Black-Scholes, CEV, Displaced Diffusion, Hull-White
Stochastic Volatility:
Heston, SABR, Displaced Diffusion Heston, Heston-Hull-White
Jump-Diffusion:
Merton, Bates, Bates-Hull-White
Levy:
Variance Gamma, Normal Inverse Gaussian
Levy+Stochastic Volatility:
Gamma Ornstein-Uhlenbeck and CIR clock |