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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.

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This collection illustrates the methods from chapters 5 and 6 from the book Financial Modelling co authored by Joerg Kienitz and Daniel Wetterau.

We cover the COS and CONV method for derivatives pricing using advanced models (Stochastic Volatility, Levy, Stochastic Volatility Levy, Jump Diffusions, etc.).

The methods are applicable for pricing Europeans, Bermudans and American options.


Financial Modelling Ch2 Implied Volatility and Risk Neutral Densities For Financial Models inspired this file.

Required Products MATLAB
MATLAB release MATLAB 7.14 (R2012a)
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Comments and Ratings (1)
04 Mar 2013 Mark Whirdy

25 Sep 2012 1.1

Change, resp. add:
TestCONV_alpha_Dependence, TestCONV_L_Dependence
NEW: FFTCOS_B_2, calcv_2, coeff_b_2, cvalue_2, xstar_2, TestCOS_Bermudan & FFTCOS_B_2

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