COS Method (Multiple Strikes, Bermudan, Greeks)

Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once

Version 1.1.0 (18.3 KB)
1.8K Downloads
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24 Sep 2012
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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 .

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.1.0

Minor bug:
File: TestCOS_Barrier
Line 65: pricefunc__DownAndOut (dubble underscore)
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1.0.0

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