Image compression

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.

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.

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