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Modern Pricing Method using Transforms

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Modern Pricing Method using Transforms

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25 Jul 2012 (Updated )

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

Cos_Conv_Methods.zip
Cos_Conv_Methods/calcv.m
Cos_Conv_Methods/calcvkc.m
Cos_Conv_Methods/calcvkp.m
Cos_Conv_Methods/calcv_2.m
Cos_Conv_Methods/CallPricingFFT.m
Cos_Conv_Methods/CallPricingFFTi.m
Cos_Conv_Methods/CF.m
Cos_Conv_Methods/cgmylevydens.m
Cos_Conv_Methods/CharacteristicFunctionLib.m
Cos_Conv_Methods/coeff.m
Cos_Conv_Methods/coeff_b.asv
Cos_Conv_Methods/coeff_b.m
Cos_Conv_Methods/coeff_b_2.m
Cos_Conv_Methods/createfigure_convergence.m
Cos_Conv_Methods/createfigure_convergence_ab.m
Cos_Conv_Methods/createfigure_convergence_b.m
Cos_Conv_Methods/cvalue.m
Cos_Conv_Methods/cvalue_2.m
Cos_Conv_Methods/FFTCONV_B.m
Cos_Conv_Methods/FFTCONV_B_Fast.m
Cos_Conv_Methods/FFTCONV_E.m
Cos_Conv_Methods/FFTCOS_B.m
Cos_Conv_Methods/FFTCOS_B_2.m
Cos_Conv_Methods/FFTCOS_B_F.m
Cos_Conv_Methods/FFTCOS_DownAndOut.m
Cos_Conv_Methods/FFTCOS_E.m
Cos_Conv_Methods/FFTCOS_UpAndOut.m
Cos_Conv_Methods/levymnig.m
Cos_Conv_Methods/levymvg.m
Cos_Conv_Methods/levymvg_cgm.m
Cos_Conv_Methods/LewisCallPricingFFT.m
Cos_Conv_Methods/mvratio.m
Cos_Conv_Methods/mvratio1.m
Cos_Conv_Methods/TestConvergence_COS_CONV.m
Cos_Conv_Methods/TestCONV_alpha_Dependence.m
Cos_Conv_Methods/TestCONV_L_Dependence.m
Cos_Conv_Methods/TestCOSMethod.asv
Cos_Conv_Methods/TestCOSMethod.m
Cos_Conv_Methods/TestCOS_Bermudan.asv
Cos_Conv_Methods/TestCOS_Bermudan.m
Cos_Conv_Methods/TestCOS_L_Dependence.m
Cos_Conv_Methods/TestDifferentMethods.m
Cos_Conv_Methods/TestMeanVarianceHedge.m
Cos_Conv_Methods/TestMethods.m
Cos_Conv_Methods/TestMethods_American_1.m
Cos_Conv_Methods/TestMethods_American_2.m
Cos_Conv_Methods/TestMethods_Bermudan_1.m
Cos_Conv_Methods/TestMethods_Bermudan_2.m
Cos_Conv_Methods/TestMethods_Heston_American_2.m
Cos_Conv_Methods/TestMethods_Heston_American_3.m
Cos_Conv_Methods/xstar.asv
Cos_Conv_Methods/xstar.m
Cos_Conv_Methods/xstar_2.m
license.txt

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