image thumbnail

updated almost 2 years ago

Price call and put options using Constant Elasticy of Variance model by Hanan Kavitz

An alternative to using Black and Scholes model is using Constant Elasticity of Variance model. (financial models, black and shcoules, constant elasticity m...)

[call,put]=constantElasticity(S,K,r,T,sigma,q,alpha)

image thumbnail

updated 2 years ago

Monte Carlo Simulation and Derivatives Pricing by Kienitz Wetterau FinModelling

Monte Carlo Schemes for advanced models and pricing of derivatives (monte carlo, disretization, sample scheme)

ArithmeticAsian(S, K, C)

BestOfCall(S1,S2)

CallPut(S,K,C)

image thumbnail

updated 2 years ago

Risk Neutral Densities for Financial Models by Kienitz Wetterau FinModelling

Risk neutral densities for advanced financial models used for option pricing (risk neutral density, sabr, heston)

add2date(D,V)

cf_bates(u,V0,theta,kappa,omega,rho,a,b,lambda,t,r)

cf_black(u,sigma,t)

Contact us