C++ Code
Posted by
Date Posted
Equity Options
   
Extrapolated Flexible Binomial Tree
Anon
Jan 31, 2009
Flexible binomial tree of Tian (1999)
Anon
Jan 25, 2009
Edgeworth Binomial Tree of Rubinstein (1998), requires Boost C++ 1.54.0
Anon
Jan 25, 2009
Black Scholes Price and Greeks
Anon
Jan 27, 2009
Black Scholes by Simulation
Anon
Jan 29, 2009
Leisen-Reimer Binomial Tree
Anon
Jan 31, 2009
Adaptative Mesh Method Trinomial Tree, requires Boost C++ 1.54.0
Anon
Jan 31, 2009
Black Scholes Implied Volatility on DJIA Options with Quadratic Volatility Function
Anon
Jan 31, 2009
Gram Charlier Option Price
Anon
Feb 1, 2009
Variance Gamma Model Estimation of Parameters
Anon
Feb 2, 2009
Black Scholes Implied Volatility Using S&P500 Option Prices
Anon
Feb 2, 2009
Duan (1995) GARCH Option Pricing Model on S&P 100 Index
Anon
Jan 6, 2009
Fast Fourier Transform (FFT) for Black-Scholes
Anon
Aug 6, 2013
Fractional Fast Fourier Transform (FRFT) for Black-Scholes
Anon
Aug 6, 2013
Merton (1976) Jump Diffusion by Closed Form and Simulation
Anon
Aug 15, 2013
     
American Options
   
Cox, Ross, Rubinstein Binomial Tree, requires Boost C++ 1.54.0
Anon
Feb 2, 2009
Trinomial Tree for American and European options, requires Boost C++ 1.54.0 Anon
Jan 25, 2009
Barone-Adesi and Whaley Approximation for American options
Anon
Feb 2, 2009
Ju and Zhong Approximation for American options
Anon
Feb 2, 2009
Longstaff-Schwartz algorithm for American puts or calls
Anon
July 28, 2013
Weighted Method PDE solver for Euro or American options under Black Scholes
Anon
Aug 6, 2013
Bjerksund and Stensland (1993,2003) approximation under Black-Scholes
Anon
Aug 6, 2013
Crank-Nicolson Method Using Boost
Ethan Li
Sept 19, 2013
     
Bates Model
   
Reproduction of European Prices in Table 1 of Bates (1996)
Anon
Aug 17, 2013
Bates Call Price by Fast Fourier Transform
Anon
Aug 17, 2013
Bates European Call Price by Euler and Milstein Simulation
Anon
Aug 17, 2013
     
Heston and Nandi Model
   
Heston and Nandi (2000) Using the Trapezoidal Rule
Anon
Jan 24, 2009
Heston and Nandi (2000) Parameter Estimation Using S&P500 Options
Anon
Feb 2, 2009
     
Implied Volatility Models
   
Stochastic Volatility Inspired vs. Deterministic Volatility Function on IBM
Anon
Aug 6, 2013
     
Exotic Options
   
Lattice for Floating Strike Lookback Option, requires Boost C++ 1.54.0
Anon
Feb 1, 2009
Average Price Asian Option
Anon
Feb 1, 2009
Straddle Option Price
Anon
Feb 2, 2009
Average Price Asian Option, and Barrier Option
Jerome Petit
July 25, 2013
     
Mathematical and Statistical Functions
   
N(0,1) CDF by numerical integration and N(0,1) inverse values
Anon
Jan 24, 2009
N(0,1) CDF approximation
Daniel Boutrin
Jan 31, 2010
Matrix inversion, minors, and other operations
Anon
Jan 24, 2009
Matrix inversion, minors, and other operations, requires Boost C++ 1.54.0
Anon
July 21, 2013
Natural Cubic Spline Interpolation
Anon
Jan 24, 2009
Nelder Mead minimization algorithm
Anon
Jan 24, 2009
GARCH(1,1) Parameter Estimation Using S&P500
Anon
Jan 31, 2009
RiskMetrics Volatility and Correlation
Anon
Feb 1, 2009
Numerical Integration Algorithms
Anon
Feb 1, 2009
Solving Linear Systems with Jacobi, Gauss-Seidel, and SOR
Anon
Aug 5, 2013
     
Swaps
   
Variance Swap Demeterfi, Derman, Kamal, and Zou (1999)
Anon
Feb 4, 2009
     
     
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