Code covered by the BSD License
 CF(model,u,T,r,d,varargin)
This is material illustrating the methods from the book
 CallPricingFFT(model,n,S,...This is material illustrating the methods from the book
 CallPricingFFTi(model,n,S...This is material illustrating the methods from the book
 CharacteristicFunctionLib...This is material illustrating the methods from the book
 FFTCONV_B(n, L, alpha, cp...This is material illustrating the methods from the book
 FFTCONV_B_Fast(n, L, alph...This is material illustrating the methods from the book
 FFTCONV_E(n, L, alpha, cp...This is material illustrating the methods from the book
 FFTCOS_B(n, Nex, L, c, cp...This is material illustrating the methods from the book
 FFTCOS_B_2(n, Nex, L, c, ...This is material illustrating the methods from the book
 FFTCOS_B_F(n, Nex, L, c, ...This is material illustrating the methods from the book
 FFTCOS_DownAndOut(n, Nex,...This is material illustrating the methods from the book
 FFTCOS_E(n, L, c, cp, mod...This is material illustrating the methods from the book
 FFTCOS_UpAndOut(n, Nex,H,...This is material illustrating the methods from the book
 LewisCallPricingFFT(model...This is material illustrating the methods from the book
 calcv(k, x1, x2, a, b, cp...This is material illustrating the methods from the book
 calcv_2(k, x1, x2, a, b, ...This is material illustrating the methods from the book
 calcvkc(k, b, a, strike)
This is material illustrating the methods from the book
 calcvkp(k, b, a, strike)
This is material illustrating the methods from the book
 cgmylevydens(x,C,G,M,Y)
This is material illustrating the methods from the book
 coeff(k, c, d, a, b)
This is material illustrating the methods from the book
 coeff_b(k, x1, x2, a, b)
This is material illustrating the methods from the book
 coeff_b_2(k, x1, x2, a, b)
This is material illustrating the methods from the book
 createfigure_convergence(...This is material illustrating the methods from the book
 createfigure_convergence_...This is material illustrating the methods from the book
 createfigure_convergence_...This is material illustrating the methods from the book
 cvalue(x1, x2, a, b, N, V...This is material illustrating the methods from the book
 cvalue_2(x1, x2, a, b, N,...This is material illustrating the methods from the book
 levymnig(x,a,b,d)
This is material illustrating the methods from the book
 levymvg(x,sigma,nu,theta)
This is material illustrating the methods from the book
 levymvg_cgm(x,C,G,M)
This is material illustrating the methods from the book
 mvratio(S0,Strike, prices...This is material illustrating the methods from the book
 mvratio1(S0,Strike, price...This is material illustrating the methods from the book
 xstar(ival, cp, a, b, ite...This is material illustrating the methods from the book
 xstar_2(ival, cp, a, b, i...This is material illustrating the methods from the book
 TestCONV_L_Dependence.mThis is material illustrating the methods from the book
 TestCONV_alpha_Dependence.mThis is material illustrating the methods from the book
 TestCOSMethod.mThis is material illustrating the methods from the book
 TestCOS_Bermudan.mThis is material illustrating the methods from the book
 TestCOS_L_Dependence.mThis is material illustrating the methods from the book
 TestConvergence_COS_CONV.mThis is material illustrating the methods from the book
 TestDifferentMethods.mThis is material illustrating the methods from the book
 TestMeanVarianceHedge.mThis is material illustrating the methods from the book
 TestMethods.mThis is material illustrating the methods from the book
 TestMethods_American_1.mThis is material illustrating the methods from the book
 TestMethods_American_2.mThis is material illustrating the methods from the book
 TestMethods_Bermudan_1.mThis is material illustrating the methods from the book
 TestMethods_Bermudan_2.mThis is material illustrating the methods from the book
 TestMethods_Heston_Americ...This is material illustrating the methods from the book
 TestMethods_Heston_Americ...This is material illustrating the methods from the book

View all files
Modern Pricing Method using Transforms
by
Kienitz Wetterau FinModelling
25 Jul 2012
(Updated
25 Sep 2012)
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.

coeff_b_2(k, x1, x2, a, b)

% This is material illustrating the methods from the book
% Financial Modelling  Theory, Implementation and Practice with Matlab
% source
% Wiley Finance Series
% ISBN 9780470744895
%
% Date: 02.05.2012
%
% Authors: Joerg Kienitz
% Daniel Wetterau
%
% Please send comments, suggestions, bugs, code etc. to
% kienitzwetterau_FinModelling@gmx.de
%
% (C) Joerg Kienitz, Daniel Wetterau
%
% Since this piece of code is distributed via the mathworks fileexchange
% 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 [chi, psi] = coeff_b_2(k, x1, x2, a, b)
arg2 = k .* pi * diag((x2  a) ./ (b  a)); % arg trig func
arg1 = k .* pi * diag((x1  a) ./ (b  a)); % arg trig func
term1 = cos( arg2 ) * diag(exp(x2));
term2 = cos( arg1 ) * diag(exp(x1));
term3 = pi * k .* sin( arg2 ) * diag(exp(x2)./ (ba));
term4 = pi * k .* sin( arg1 ) * diag(exp(x1)./ (ba));
chi = 1 ./ ( 1 + ((k .* pi) *diag(1./ (b  a))).^2 ) ...
.* ( term1  term2 + term3  term4 ); % modify init
chi(1,:) = (exp(x2)exp(x1)); % init chi
psi = ((sin(arg2)  sin(arg1)) ./ (k .* pi)) *diag(ba); % modify init
psi(1,:) = (x2x1); % init psi
end


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