Matlab code:


Matlab Code
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Date Posted
Equity Options
   
Cox, Ross, Rubinstein binomial tree for European and American options
Anon
Jan 24, 2009
Lightning-Fast Black-Scholes Using Inline Functions
Anon
Dec 29, 2010
Black-Scholes Simulation Using Euler and Milstein Discretizations
Anon
Dec 29, 2010
Black-Scholes Simulation Using Antithetic Variance Reduction
Anon
Dec 29, 2010
Black-Scholes Call Price Using the Characteristic Function in Lewis and Lipton
Anon
Aug 1, 2011
Black-Scholes Call Price Using the Characteristic Function Heston-Like Approach
Anon
Aug 1, 2011
Variance Gamma Model for European options with Madan and Milne Formulation
Anon
May 10, 2009
Black Scholes with discrete dividend adjustment
Abio
Feb 5, 2010
European Call using Explicit Finite Differences, Clewlow & Strickland Example
Anon
Dec 28, 2010
Duan (1995) GARCH Option Pricing Model on S&P 100 Index
Anon
Dec 30, 2010
Derman & Kani Implied Trinomial Tree , Clewlow & Strickland Example
Anon
Jan 8, 2011
Black-Scholes Using the Fast Fourier Transform (FFT) Blazing Fast
Anon
June 13, 2011
Black-Scholes Using the Fractional Fast Fourier Transform (FRFT)
Anon
Aug 5, 2011
Merton (1976) jump diffusion by closed form and simulation
Anon
Aug 15, 2013
     
Bates Model
   
European Option Pricing Using the Fast Fourier Transform (FFT) in the Bates Model
Anon
Aug 15, 2013
Reproduction of European Prices in Table 1 of Bates (1996)
Anon
Aug 15, 2013
Effect of Jump Parameters on the Risk Neutral Density and on Implied Vols
Anon
Aug 15, 2013
Bates European Call Price by Euler and Milstein Simulation
Anon
Aug 15, 2013
Bates Parameter Estimation Using DJIA Options
Anon
Aug 15, 2013
     
American Equity Options
   
Weighted PDE Method (Exp/Imp/CN), Euro or Amer options under Black Scholes
Anon
Aug 1, 2013
American Put Using Explicit Finite Differences, Clewlow & Strickland Example
Anon
Dec 28, 2010
American Put Using Implicit Finite Differences, Clewlow & Strickland Example
Anon
Dec 28, 2010
American Options Using Implicit Finite Differences, Clewlow & Strickland Explanation
Anon
Dec 28, 2010
American Put Using Crank-Nicolson, Clewlow & Strickland Example 3.17
Anon
Dec 28, 2010
American Options using Crank-Nicolson, Clewlow & Strickland Explanation
Anon
Dec 28, 2010
Barone-Adesi & Whaley Quadratic Approximation for American Options
Anon
Dec 30, 2010
Ju-Zhong Approximation for American Options
Anon
Nov 17, 2010
Longstaff-Schwartz algorithm for American calls or puts under Black-Scholes
Anon
Nov 17, 2010
Binomial Tree for Vanilla calls and puts
Anon
Apr 15, 2010
Trinomial Tree for Vanilla calls and puts
Anon
Apr 16, 2010
Bjerksund and Stensland (1993,2002) American calls or puts under Black-Scholes
Anon
Nov 17, 2010
Variance Swap
   
Variance Swap Demeterfi, Derman, Kamal, and Zou (1999) on S&P 500 Index
Anon
Feb 2, 2009
Variance Swap Demeterfi et al (1999), Comparison with Results from Numerix
Anon
Dec 2, 2011
     
Estimation of the Risk Neutral Density (RND)
   
RND Closed Form for Black Scholes
Anon
July 14, 2010
RND Using Mixture of Lognormal Densities, BAC options
Anon
July 14, 2010
RND Using DVF on Implied Volatility, GEV Tails -- Figlewski Method
Anon
Aug 22, 2010
RND Using DVF or SVI on Implied Volatility with Lognormal (flat) extrapolated tails
Anon
Jan 12, 2011
RND Using DVF, SVI and SABR on Implied Vol, with DVF, SVI, SABR extrapolated tails
Anon
Jan 12, 2011
RND Using DVF, SVI, SABR and Interpolation showing poor results with interpolation
Anon
Jan 12, 2011
RND Estimation from David Shimko's 1993 Paper in RISK
Anon
May 6, 2010
     
Implied Volatility Models
   
SABR Model, 2 examples from Haug's book
Anon
Jan 19, 2010
SABR Model, parameter estimation and Figure 33 from Hagan's paper
Anon
Jan 19, 2010
SABR Model Greeks by Bruce Bartlett
Anon
Feb 21, 2010
SABR Model, Comparison with Vendor Software
Anon
Dec 31, 2010
SABR Model, Fine Tuned Version
Anon
Jan 7, 2011
Stochastic Volatility Inspired (SVI) and Deterministic Volatility Function (DVF) on IBM
Anon
Jan 19, 2010
SVI arbitrage free across strikes and maturities, Carol Alexander data
Anon
July 8, 2013
     
Local Volatility Models
   
Local volatility from Implied Volatility, Comparison with Vendor Software
Anon
Nov 23, 2010
Local volatility from Implied Volatility, example from Coleman's paper
Anon
Jan 19, 2010
Local volatility from Heston Implied Volatility on SP500, with TPS smoothing
Anon
Jan 19, 2010
Local volatility from Call Prices, Example from Carol Alexander's book (Volume 3)
Anon
Dec 22, 2010
Local volatility from Implied Vol with quadratic fit, Coleman and Alexander examples
Anon
Jan 19, 2010
Implied Local Volatility Tree Showing Recovery of Market Call and Put Prices
Anon
Feb. 14, 2010
Local Vol on SP500 with PDE Weighted Method, Andersen & Brotherton-Ratcliffe
Anon
June 24, 2013
Derman-Kani-Chriss Implied Vol Tree Showing Recovery, original DKC example
Anon
Feb. 14, 2010
Brigo Mercurio lognormal mixture model, IV and LV, constant sigma
Anon
July 18, 2013
Brigo Mercurio Rapisarda lognormal mixture model, IV and LV, time varying sigma
Anon
July 18, 2013
     
Volatility Smoothing
   
Natural and Clamped Cubic Splines
Anon
Jun 28, 2013
Smoothed Natural Cubic Splines (Green and Silverman, Fengler)
Anon
Jun 28, 2013
Thin Plate Splines, Various Examples
Anon
Jun 28, 2013
Nadaraya-Watson Estimator, DJIA and Other Example
Anon
July 8, 2013
Arbitrage-free smoothing of the implied volatility surface by Matthias Fengler
Anon
Jun 28, 2013
     
Exotic Options
   
Barrier option with local volatility and PDE pricer, Andersen and Brotherton-Ratcliffe
Dr Fab
June 24, 2013
Double Binary One Touch, No Touch, Double Knock In / Out (7 files)
Michael Wencis
Jan 29, 2009
Quanto Option
Stephano Collina
Mar 25, 2010
European Barrier Options (8 files)
Michael Wencis
Jan 29, 2009
Binomial Tree for European/American Floating Strike Lookback Option
Anon
Jan 29, 2009
Barriers Using Binomial Tree With Boyle & Lau (1994) Steps and Monitoring
Anon
Aug 5, 2010
"Up" Single Barrier Options with Derman et al (1995) Interpolation
Anon
Aug 5, 2010
"Down" Single Barrier Options with Derman et al (1995) Interpolation
Anon
Aug 7, 2010
American Up & Out Put Local Volatility Implied Tree, Clewlow & Strickland Fig 5.6 & 5.9
Anon
Oct 4, 2010
European Barrier Options, Reproduction of Table in Espen Haug's Book
Anon
Oct 29, 2010
European Asian Option via Simulation using Milstein discretization
Anon
Jan 29, 2011
     
Interest Rates
   
Cap Volatility Stripping Algorithm, Schoenmakers example
Anon
Jan 19, 2010
Hull White Trinomial Tree, Puts on Discount Bonds, Clewlow & Strickland Fig 9.17
Anon
Jan 3, 2011
Hull White Trinomial Tree, Described in Clewlow & Strickland Section 9.5
Anon
Jan 3, 2011
Hull White Calibration to Caplets, Clewlow & Strickland Figure 7.5
Anon
Jan 5, 2011
Black-Karasinski Trinomial Tree, Clewlow & Strickland Figure 9.12
Anon
Feb 1, 2011
Black-Derman-Toy Binomial Tree Fitted to Yields, Showing Recovery of ZCB Prices
Anon
Feb 2, 2011
Black-Derman-Toy Binomial Tree Fitted to Yields, Clewlow & Strickland Figure 8.4
Anon
Feb 2, 2011
Black-Derman-Toy Bin Tree Fitted to Yields, ZCB options, Clewlow & Strickland, Fig 8.9
Anon
Feb 3, 2011
Black-Derman-Toy Bin Tree Fitted to Yields and Vols, Clewlow & Strickland Fig 8.6
Anon
Feb 2, 2011
Black-Derman-Toy Bin Tree Fitted to Yields and Vols, Clewlow & Strickland Fig 8.6
Anon
Feb 2, 2011
Cox, Ingersoll, Ross Model Parameter Estimation and Yield Curve
Anon
Jan 3, 2010
     
Securitization
   
Collateralized Debt Obligation -- Long Version
Red1
May 22, 2009
Collateralized Debt Obligation -- Efficient Version
Red1 & Dr Fab
May 22, 2009
     
Other
 
Derman et al. Static Hedging of Barrier Options
Anon
Dec 20, 2010
     
 
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