Modern Pricing Method using Transforms

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
Updated 25 Sep 2012

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This collection illustrates the methods from chapters 5 and 6 from the book Financial Modelling co authored by Joerg Kienitz and Daniel Wetterau.

We cover the COS and CONV method for derivatives pricing using advanced models (Stochastic Volatility, Levy, Stochastic Volatility Levy, Jump Diffusions, etc.).

The methods are applicable for pricing Europeans, Bermudans and American options.

Cite As

Kienitz Wetterau FinModelling (2024). Modern Pricing Method using Transforms (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
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Version Published Release Notes

Change, resp. add:
TestCONV_alpha_Dependence, TestCONV_L_Dependence
NEW: FFTCOS_B_2, calcv_2, coeff_b_2, cvalue_2, xstar_2, TestCOS_Bermudan & FFTCOS_B_2