Code covered by the BSD License  

Highlights from
Modern Pricing Method using Transforms

image thumbnail

Modern Pricing Method using Transforms

by

 

25 Jul 2012 (Updated )

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

Contact us