COS Method (Multiple Strikes, Bermudan, Greeks)

Version 1.1.0.0 (18.5 KB) by Kienitz Wetterau FinModelling
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
0.0
(0)
1.7K Downloads
Updated 25 Sep 2012

View License

This illustrates results from Chapter 6 of the WILEY Finance book Financial Modelling by Joerg Kienitz and Daniel Wetterau.

We implement the COS Transform method for option pricing for advanced models such as Heston, CGMY, Variance Gamma, etc.

We cover pricing and calculation of Greeks for European and Bermudan options doing multiple strikes using vector methods.

Cite As

Kienitz Wetterau FinModelling (2024). COS Method (Multiple Strikes, Bermudan, Greeks) (https://www.mathworks.com/matlabcentral/fileexchange/37617-cos-method-multiple-strikes-bermudan-greeks), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Risk Management Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Cos_Method_Bermudan_Mult_Strikes/

Version Published Release Notes
1.1.0.0

Minor bug:
File: TestCOS_Barrier
Line 65: pricefunc__DownAndOut (dubble underscore)

1.0.0.0