Code covered by the BSD License

Modern Pricing Method using Transforms

Kienitz Wetterau FinModelling (view profile)

25 Jul 2012 (Updated )

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

mvratio(S0,Strike, prices, K, levymeasure,i_lb,i_ub)
```% 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
%
% 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 = mvratio(S0,Strike, prices, K, levymeasure,i_lb,i_ub)
%
% v = interp1(Strike,prices,K,'linear','extrap');
%
% f1 = @(x) (exp(x) - 1) .* exp(x) .* interp1(Strike,prices,K*exp(-x)) .* levymeasure(x);
%
% f2 = @(x) v * (exp(x) - 1) .* levymeasure(x);
%
% f3 = @(x) (exp(x)-1).^2 .* levymeasure(x);
%
% eps = 10^(-8);
%
%
% num = s1-s2;
% denum = s3;
%
% y = num/denum/S0;

function y = mvratio(S0,Strike, prices, K, levymeasure,i_lb,i_ub)

v = interp1(Strike,prices,K,'linear','extrap');     % option values at K

f2 = @(x) (exp(x) - 1) .* levymeasure(x);

f3 = @(x) (exp(x)-1).^2 .* levymeasure(x);

eps = 10^(-8);

s1 = zeros(length(K),1);

for jj = 1:length(K)
f1 = @(x) (exp(x) - 1) .* exp(x) .* interp1(Strike,prices,K(jj)*exp(-x)) .* levymeasure(x);