Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
Updated 7 May 2012

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This is material from the book
Financial Modelling: Theory, Implementation and Practice with Matlab source from Joerg Kienitz and Daniel Wetterau, WILEY, September 2012

Pricing Call Options for advanced financial models using FFT and the Carr-Madan or the Lewis Method. We cover:

Bachelier, Black-Scholes, CEV, Displaced Diffusion, Hull-White

Stochastic Volatility:
Heston, SABR, Displaced Diffusion Heston, Heston-Hull-White

Merton, Bates, Bates-Hull-White

Variance Gamma, Normal Inverse Gaussian

Levy+Stochastic Volatility:
Gamma Ornstein-Uhlenbeck and CIR clock

Cite As

Kienitz Wetterau FinModelling (2024). FinancialModelling_Ch2_ImpliedVolatility (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
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