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updated 1 month ago

Lattice Methods for Option Pricing by Bowei Chen

Lattice Methods/Recombining Tree Methods for Option Pricing (derivative, option pricing, binomial tree)




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updated 5 months ago

LogNormalBetaStochasticVolatility by ML Sepp

ML Sepp (view profile)

Compute option prices under log-normal beta stochastic volatility model and compare vs Monte Carlo (lognormal stochastic ..., option pricing, finance)


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updated 9 months ago

CFH Toolbox (Characteristic Function Option Pricing) by Matthias Held

Implementation of Option Pricing Transform Methods (transform methods, characteristic functi..., option pricing)




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updated 9 months ago

Option Implied Moments by Matthias Held

Compute implied return distribution moments and prices for return power contracts (implied density, implied moments, volatility)




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updated 1 year ago

Arbitrage-Free Smoothing of the Implied Volatility Surface by Philipp Rindler

Function to smooth call option prices and implied volatilities free of static arbitrage. (implied volatility, option pricing, finance)

Arbitrage-free Smoothing of the Implied Volatility Surface


evaluateSpline(u, tau, g, gamma, close, strike, ...

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updated almost 2 years ago

Merton Jump Diffusion Option Price (Matrixwise) by Mark Whirdy

Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface (merton, options, finance)


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updated 2 years ago

Corrado and Su (1996) European Option Prices by Semin Ibisevic

Compute European put and call option prices using the Corrado and Su (1996) model. (option pricing, european, call)


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updated 2 years ago

COS Method (Multiple Strikes, Bermudan, Greeks) by Kienitz Wetterau FinModelling

Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once (cos, multiple strikes, bermudan)


FFTCOS_B(n, Nex, L, c, cp, type, S0, t, r, q, ...

FFTCOS_B_2(n, Nex, L, c, cp, type, S0, t, r, q, ...

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updated almost 3 years ago

FinancialModelling_Ch2_ImpliedVolatility by Kienitz Wetterau FinModelling

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models (finance, stochastic volatility, heston)




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updated 3 years ago

Option pricing package by Paolo Zagaglia

Pricing functions for selected options with alternative methods (finance, demo, option pricing)

call_price=american_call_baw(S, X, r, b, sigma, time, acc...

call_price=american_call_bin(S, K, r, sigma, t, steps)

call_price=american_call_bin_contpay(S, K, r, y, sigma, t...

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updated 3 years ago

Improving MATLABĀ® performance when solving financial optimization problems by Jorge Paloschi

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, (optimization, finance, symbolic)



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updated 3 years ago

CEV Calibration by Makafui Kalefe

Performs Calibration of CEV Model. Run CevCalibration.m to see how it works. (cev calibration, option pricing)

CevCalibration(~ )


CevLSQD( x )

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updated almost 4 years ago

Heston Model Calibration and Simulation by Moeti Ncube

Moeti Ncube (view profile)

Calibrated the Heston Model to market Option prices (heston model, option pricing, calibration)




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updated 7 years ago

An Example of Markov Chain and multinominal option pricing by Ying Li

Ying Li (view profile)

One sample of the pricing of double barriers knock-in binary put option by using multinominal, Marko (finance, modeling, analysis)




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