Option on zero-coupon bond via Levy HJM model

Version 1.0.0.0 (3.3 KB) by Mesias Alfeus
Levy Term structure, GH as a driver, Option on zero-bond values, Quadratic hedge ratio.
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Updated 15 Oct 2014

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The codes calculate the option values on zero-coupon bonds in Levy term structure framework using Fourier methods. As an example, consider GH as a driving process. The codes also computes the quadratic hedge ratio.
See Eberlein and Raible 1999, and Tankov 2005 for detailed theory.

Cite As

Mesias Alfeus (2024). Option on zero-coupon bond via Levy HJM model (https://www.mathworks.com/matlabcentral/fileexchange/48117-option-on-zero-coupon-bond-via-levy-hjm-model), MATLAB Central File Exchange. Retrieved .

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Created with R2014a
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Version Published Release Notes
1.0.0.0