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Modern Pricing Method using Transforms

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.

Comments and Ratings (1)

Mark Whirdy

Updates

1.1

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

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