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updated 1 year 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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