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

LeisenReimer 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 BlackScholes

Anon

Aug 6, 2013

Fractional Fast Fourier Transform (FRFT) for BlackScholes

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

BaroneAdesi and Whaley Approximation for American options

Anon

Feb 2, 2009

Ju and Zhong Approximation for American options

Anon

Feb 2, 2009

LongstaffSchwartz 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 BlackScholes

Anon

Aug 6, 2013

CrankNicolson 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, GaussSeidel, and SOR

Anon

Aug 5, 2013




Swaps



Variance Swap Demeterfi, Derman, Kamal, and Zou (1999)

Anon

Feb 4, 2009







