Modern pricing method using transforms in matlab

The following Matlab project contains the source code and Matlab examples used for modern pricing method using transforms. This collection illustrates the methods from chapters 5 and 6 from the book Financial Modelling co authored by Joerg Kienitz and Daniel Wetterau.

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
calcv.m 921
calcvkc.m 888
calcvkp.m 885
calcv_2.m 932
CallPricingFFT.m 3356
CallPricingFFTi.m 3371
CF.m 15716
cgmylevydens.m 957
CharacteristicFunctionLib.m 15839
coeff.m 1447
coeff_b.asv 1710
coeff_b.m 1710
coeff_b_2.m 1435
createfigure_convergence.m 1713
createfigure_convergence_ab.m 1564
createfigure_convergence_b.m 1571
cvalue.m 2156
cvalue_2.m 2440
FFTCONV_B.m 4426
FFTCONV_B_Fast.m 4806
FFTCONV_E.m 2251
FFTCOS_B.m 2398
FFTCOS_B_2.m 2409
FFTCOS_B_F.m 3212
FFTCOS_DownAndOut.m 2546
FFTCOS_E.m 2209
FFTCOS_UpAndOut.m 2530
levymnig.m 1006
levymvg.m 1093
levymvg_cgm.m 939
LewisCallPricingFFT.m 2480
mvratio.m 1966
mvratio1.m 1578
TestConvergence_COS_CONV.m 3874
TestCONV_alpha_Dependence.m 2779
TestCONV_L_Dependence.m 2642
TestCOSMethod.asv 2192
TestCOSMethod.m 2250
TestCOS_Bermudan.asv 2881
TestCOS_Bermudan.m 2893
TestCOS_L_Dependence.m 3672
TestDifferentMethods.m 3880
TestMeanVarianceHedge.m 4125
TestMethods.m 4471
TestMethods_American_1.m 4920
TestMethods_American_2.m 4681
TestMethods_Bermudan_1.m 4048
TestMethods_Bermudan_2.m 4127
TestMethods_Heston_American_2.m 5225
TestMethods_Heston_American_3.m 5143
xstar.asv 1489
xstar.m 1489
xstar_2.m 1458
license.txt 1329

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