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updated 12 days ago

CFH Toolbox (Characteristic Function Option Pricing) by Matthias Held

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

cf2american

cf2bond

cf2bondEx

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updated 24 days ago

Option Implied Moments by Matthias Held

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

mOption2price

mOption2stat

mVol2price

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updated 4 months 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 1 year 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)

calcMJDOptionPrice(cp,S,K,T,sigma,r,q,lambda,a,b,n)

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updated 1 year 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)

csprice.m

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updated almost 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)

CF(model,u,T,r,d,varargin)

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 2 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)

CallPricingFFT(model,S,K,T,r,d,varargin)

CallPricingFFT2(model,S,K,T,r,d,varargin)

CharacteristicFunctionLib(model,u,lnS,T,r,d,varargin)

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updated 2 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 almost 3 years ago

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

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, http://www.wilmott.com/magazine.cfm (optimization, finance, symbolic)

OptimizationWithSymbolicToolboxDemo()

vectorize(s)

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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(~ )

CevCall(S,K,T,r,q,sigma,alpha)

CevLSQD( x )

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updated 3 years ago

Heston Model Calibration and Simulation by Moeti Ncube

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

C=HestonCall(St,K,r,T,vt,kap,th,sig,rho,lda)

[cost]=costf2(x)

fj=CF_SVj(xt,vt,tau,mu,a,uj,bj,rho,sig,phi)

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updated 6 years ago

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

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

MakovChain_KIBarriersDigitalPut(S0,StrikePrice,TopBarrier...

Multinominal_KIBarriersDigitalPut(S0,TopBarrier,BottomBar...

output=BSBinaryPutByLogPrice(LogCurrentPrice,LogStrike,ta...

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