FinancialModelling_Ch2_ImpliedVolatility

Versión 1.0.0.0 (42.6 KB) por Kienitz Wetterau FinModelling

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models

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Actualizado 7 May 2012

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This is material from the book
Financial Modelling: Theory, Implementation and Practice with Matlab source from Joerg Kienitz and Daniel Wetterau, WILEY, September 2012

Pricing Call Options for advanced financial models using FFT and the Carr-Madan or the Lewis Method. We cover:

Diffusion:
Bachelier, Black-Scholes, CEV, Displaced Diffusion, Hull-White

Stochastic Volatility:
Heston, SABR, Displaced Diffusion Heston, Heston-Hull-White

Jump-Diffusion:
Merton, Bates, Bates-Hull-White

Levy:
Variance Gamma, Normal Inverse Gaussian

Levy+Stochastic Volatility:
Gamma Ornstein-Uhlenbeck and CIR clock

Citar como

Kienitz Wetterau FinModelling (2023). FinancialModelling_Ch2_ImpliedVolatility (https://www.mathworks.com/matlabcentral/fileexchange/36563-financialmodelling_ch2_impliedvolatility), MATLAB Central File Exchange. Recuperado June 11, 2023.

Compatibilidad con la versión de MATLAB

Se creó con R2012a

Compatible con cualquier versión

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Agradecimientos

Inspiración para: Risk Neutral Densities for Financial Models, Modern Pricing Method using Transforms, COS Method (Multiple Strikes, Bermudan, Greeks)

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Versión	Publicado	Notas de la versión
1.0.0.0	7 May 2012		Descargar