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by Kienitz Wetterau FinModelling
25 Jul 2012 (Updated 25 Sep 2012)
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
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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