PROJ_Option_Pricing_Matlab

swMATH44231MaRDI QIDQ1349702FDOQ1349702

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Official website: https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab

Source code repository: https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab

Cited In (9)

• An efficient transform method for Asian option pricing
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
• Robust barrier option pricing by frame projection under exponential Lévy dynamics
• A general valuation framework for SABR and stochastic local volatility models
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Langevin
• KramersMoyal
• A general framework for time-changed Markov processes and applications
• Static hedging and pricing of exotic options with payoff frames

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