COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
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This illustrates results from Chapter 6 of the WILEY Finance book Financial Modelling by Joerg Kienitz and Daniel Wetterau.
We implement the COS Transform method for option pricing for advanced models such as Heston, CGMY, Variance Gamma, etc.
We cover pricing and calculation of Greeks for European and Bermudan options doing multiple strikes using vector methods.
Cite As
Kienitz Wetterau FinModelling (2026). COS Method (Multiple Strikes, Bermudan, Greeks) (https://www.mathworks.com/matlabcentral/fileexchange/37617-cos-method-multiple-strikes-bermudan-greeks), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: FinancialModelling_Ch2_ImpliedVolatility, Risk Neutral Densities for Financial Models
General Information
- Version 1.1.0.0 (18.5 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
