Modern Pricing Method using Transforms

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.

Version 1.1.0 (72.1 KB)
2.3K Downloads
(2)
24 Sep 2012
Download

  • Install in MATLAB

    Requires R2026b and later. Learn more
Download

  • Install in MATLAB

    Requires R2026b and later. Learn more

You are now following this Submission

Cite As

Kienitz Wetterau FinModelling (2026). Modern Pricing Method using Transforms (https://nl.mathworks.com/matlabcentral/fileexchange/37616-modern-pricing-method-using-transforms), MATLAB Central File Exchange. Retrieved .

Categories

Find more on Biomedical Imaging in Help Center and MATLAB Answers

General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
Open in new tab
Version Published Release Notes
1.1.0

Change, resp. add:
TestCONV_alpha_Dependence, TestCONV_L_Dependence
TestConvergence_COS_CONV
TestCOS_Bermudan
TestCOS_L_Dependence
TestCOSMethod
NEW: FFTCOS_B_2, calcv_2, coeff_b_2, cvalue_2, xstar_2, TestCOS_Bermudan & FFTCOS_B_2
Download

  • Install in MATLAB

    Requires R2026b and later. Learn more
1.0.0

Download

  • Install in MATLAB

    Requires R2026b and later. Learn more