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.m This is material illustrating the methods from the book
TestCONV_alpha_Dependence.m This is material illustrating the methods from the book
TestCOSMethod.m This is material illustrating the methods from the book
TestCOS_Bermudan.m This is material illustrating the methods from the book
TestCOS_L_Dependence.m This is material illustrating the methods from the book
TestConvergence_COS_CONV.m This is material illustrating the methods from the book
TestDifferentMethods.m This is material illustrating the methods from the book
TestMeanVarianceHedge.m This is material illustrating the methods from the book
TestMethods.m This is material illustrating the methods from the book
TestMethods_American_1.m This is material illustrating the methods from the book
TestMethods_American_2.m This is material illustrating the methods from the book
TestMethods_Bermudan_1.m This is material illustrating the methods from the book
TestMethods_Bermudan_2.m This 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.
levymnig(x,a,b,d)
% 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
% kienitzwetterau_FinModelling@gmx.de
%
% (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 = levymnig(x,a,b,d)
% the levy measure of a normal inverse gaussian model
% a - alpha
% b - beta
% d - delta
y(x~=0) = d*a/pi * exp(b*x(x~=0)) .* besselk(1,a*abs(x(x~=0)))./ abs(x(x~=0));
y(x==0) = 0;
end
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