Cfh toolbox (characteristic function option pricing) in matlab

The following Matlab project contains the source code and Matlab examples used for cfh toolbox (characteristic function option pricing). The CFH toolbox is a collection of characteristic function transform methods in finance that can be used for example for pricing American/European style options in affine jump diffusion models such as Heston or Pan, risk free bonds or CDS spread pricing in CIR or Vasicek specifications and many other models.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
cf2american.m 4580
cf2bond.m 5529
cf2bondEx.m 7113
cf2call.m 4764
cf2gaby.m 4692
cf2pdf.m 3615
cf2spread.m 5427
cfaffine.m 5947
cfaffineEx.m 8184
cfh.m 50161
cfjump.m 3687
cflib.m 5542
cfneutralize.m 3344
Contents.m 1055
Black_Scholes.mat 1385
DefaultRisk.mat 1469
Heston.mat 1448
SVJ.mat 1485
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helptoc.xml 956
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