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updated 6 months ago

CFH Toolbox (Characteristic Function Option Pricing) by Matthias Held

Matthias Held

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

cf2american

cf2bond

cf2bondEx

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updated 2 years ago

Modern Pricing Method using Transforms by Kienitz Wetterau FinModelling

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options. (cos, conv, lewis)

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

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

CallPricingFFTi(model,n,S,K,T,r,d,imethod,varargin)

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