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updated 10 months ago

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

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

Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)

calcBSImpVol(cp,P,S,K,T,r,q)

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updated 2 years ago

The SABR Model - Densities and MC by Kienitz Wetterau FinModelling

Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method (sabr, kienitz, doust)

BinarySABR(f, k, t, sigma, disc)

BinarySABR_1_2(f, k, t, sigma)

BinarySABR_2(f, k, t, sigma)

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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 almost 6 years ago

Volatility Surface by Rodolphe Sitter

Rodolphe Sitter

Compute and Plot Volatility Surfaces from Market Prices (volatility, surface, implied volatility)

VolSurface(S0, r, T, K, CallPrice)

Example1.m

Example2.m

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