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

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, ...

FinancialModelling_Ch2_ImpliedVolatility by Kienitz Wetterau FinModelling

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models (finance, implied volatility, levy)

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

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

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

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, accur...

call_price=american_call_bin(S, K, r, sigma, t, steps)

call_price=american_call_bin_contpay(S, K, r, y, sigma, t, ...

Improving MATLAB® performance when solving financial optimization problems by Sri Krishnamurthy

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

OptimizationWithSymbolicToolboxDemo()

vectorize(s)

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 )

Heston Model Calibration and Simulation by Moeti Ncube

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

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)

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,B...

Multinominal_KIBarriersDigitalPut(S0,TopBarrier,BottomBarri...

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

Option Pricing Demo by Kas Sharma

Demo of an option pricing tool (blackscholes, option pricing, analysis)

blsapp2()

blsapp2()

blsbtyval(SpotPrice, ...