Option Pricing Toolbox
Here you can download a Matlab Toolbox that can be used to price options according to many of the most popular models used in the option pricing literature. Among many others: Black and Scholes, JPE 1973, Heston, RFS 1993, Double Jump model of Duffie, Pan, and Singleton, 2000 ECMA (Double Jump Model), Bates, JE 2000 (Two-Factor Gaussian Model), Andersen, Fusari, and Todorov, JFE 2015 (Two-Factor Double Exponential Model), Generalized Tempered Stable, Cont and Tankov 2004
Keywords for this software
References in zbMATH (referenced in 1 article )
Showing result 1 of 1.
- McGee, Richard J.; McGroarty, Frank: The risk premium that never was: a fair value explanation of the volatility spread (2017)