Pricing and Calibration Framework (Object Oriented)

バージョン 1.0.0.0 (259 KB) 作成者: Kienitz Wetterau FinModelling
Object Oriented Framework for Pricing, Calibration and Hedging.
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ダウンロード: 2.4K
更新 2012/9/25

ライセンスの表示

We have set up an object oriented framework covering advanced models such as Heston, Bates, VG, NIG or stochastic volatility Levy models.
We have included the forward characteristic functions which makes it possible to calibrate to standard but also to forward start options with Lewis, Carr-Madan, BS Carr-Madan or Cosine methods.
All the stuff is object oriented and can be extended by the user.
All is described in our book!

引用

Kienitz Wetterau FinModelling (2025). Pricing and Calibration Framework (Object Oriented) (https://www.mathworks.com/matlabcentral/fileexchange/38323-pricing-and-calibration-framework-object-oriented), MATLAB Central File Exchange. に取得済み.

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作成: R2012a
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Framework_Pricing_Calibration_OO/

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Framework_Pricing_Calibration_OO/@vgmodel/

Framework_Pricing_Calibration_OO/@vgmodelbuilder/

Framework_Pricing_Calibration_OO/DeMat/

Framework_Pricing_Calibration_OO/SQP/

バージョン 公開済み リリース ノート
1.0.0.0