FinancialModelling_​Ch2_ImpliedVolatili​ty

Version 1.0.0.0 (42.6 KB) by Kienitz Wetterau FinModelling
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
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Updated 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

Cite As

Kienitz Wetterau FinModelling (2024). FinancialModelling_Ch2_ImpliedVolatility (https://www.mathworks.com/matlabcentral/fileexchange/36563-financialmodelling_ch2_impliedvolatility), MATLAB Central File Exchange. Retrieved .

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Created with R2012a
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Version Published Release Notes
1.0.0.0