COS Method (Multiple Strikes, Bermudan, Greeks)

バージョン 1.1.0.0 (18.5 KB) 作成者: Kienitz Wetterau FinModelling
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
0.0
(0)
ダウンロード: 1.7K
更新 2012/9/25

ライセンスの表示

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.

引用

Kienitz Wetterau FinModelling (2025). COS Method (Multiple Strikes, Bermudan, Greeks) (https://www.mathworks.com/matlabcentral/fileexchange/37617-cos-method-multiple-strikes-bermudan-greeks), MATLAB Central File Exchange. に取得済み.

MATLAB リリースの互換性
作成: R2012a
すべてのリリースと互換性あり
プラットフォームの互換性
Windows macOS Linux
カテゴリ
Help Center および MATLAB Answers で Risk Management Toolbox についてさらに検索

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Cos_Method_Bermudan_Mult_Strikes/

バージョン 公開済み リリース ノート
1.1.0.0

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

1.0.0.0