PROJ_Option_Pricing_Matlab
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Software:1349702
swMATH44231MaRDI QIDQ1349702FDOQ1349702
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Source code repository: https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab
Cited In (7)
- 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
- An Efficient Transform Method for Asian Option Pricing
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- A General Valuation Framework for SABR and Stochastic Local Volatility Models
- A general framework for time-changed Markov processes and applications
- Static hedging and pricing of exotic options with payoff frames
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