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Highlights from
Modern Pricing Method using Transforms

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Modern Pricing Method using Transforms



25 Jul 2012 (Updated )

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

% This is material illustrating the methods from the book
% Financial Modelling  - Theory, Implementation and Practice with Matlab
% source
% Wiley Finance Series
% ISBN 978-0-470-74489-5
% Date: 02.05.2012
% Authors:  Joerg Kienitz
%           Daniel Wetterau
% Please send comments, suggestions, bugs, code etc. to
% (C) Joerg Kienitz, Daniel Wetterau
% Since this piece of code is distributed via the mathworks file-exchange
% it is covered by the BSD license 
% This code is being provided solely for information and general 
% illustrative purposes. The authors will not be responsible for the 
% consequences of reliance upon using the code or for numbers produced 
% from using the code. 

function y = cgmylevydens(x,C,G,M,Y)

    y(x<0) = C .* exp(-G.*abs(x(x<0)))./abs(x(x<0)).^(1+Y);
    y(x==0) = Inf;
    y(x>0) = C .* exp(-M.*x(x>0))./x(x>0).^(1+Y);

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