C++ Code
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Posted by
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Date Posted
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Equity Options
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Cox, Ross, Rubinstein Binomial Tree
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Dr. Fab
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Feb 2, 1009
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Extrapolated Flexible Binomial Tree
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Dr Fab
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Jan 31, 2009
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Flexible binomial tree of Tian (1999)
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Dr. Fab
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Jan 25, 2009
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Trinomial Tree for American and European options
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Dr. Fab
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Jan 25, 2009
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Edgeworth Binomial Tree of Rubinstein (1998)
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Dr. Fab
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Jan 25, 2009
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Black Scholes Price and Greeks
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Dr. Fab
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Jan 27, 2009
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Black Scholes by Simulation
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Dr. Fab
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Jan 29, 2009
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Black-Scholes Using the Fast Fourier Transform (FFT) Blazing Fast
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Dr. Fab
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Aug 16, 2011
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Leisen-Reimer Binomial Tree
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Dr. Fab
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Jan 31, 2009
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Adaptative Mesh Method Trinomial Tree
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Dr. Fab
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Jan 31, 2009
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Practitioner (Ad hoc) Black Scholes Model
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Dr Fab
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Jan 31, 2009
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Gram Charlier Option Price
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Dr. Fab
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Feb 1, 2009
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Black Scholes Implied Volatility Using S&P500 Option Prices
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Dr. Fab
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Feb 2, 2009
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Variance Gamma Model for European options with Madan and Milne Formulation
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Dr. Fab
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May 22, 2009
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Duan (1995) GARCH Option Pricing Model on S&P 100 Index
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Dr. Fab
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Jan 6, 2011
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Heston Model by Numerical Integration
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Heston Model, Original Formulation Using Boole's Integration Rule
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Dr. Fab
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Jan 24, 2009
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Heston Call Price Using 32-Point Gauss Laguerre Quadrature
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Dr. Fab
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July 4, 2011
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Heston Call Price Using 32-Point Gauss Legendre Quadrature
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Dr. Fab
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July 4, 2011
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Comparison of Heston Calls Using Newton-Coates Formulas
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Dr. Fab
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July 4, 2011
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Heston Model Using the Fast Fourier Transform (FFT) Blazing Fast
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Dr. Fab
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Aug 16, 2011
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Heston Call Price Using the Fundamental Transform of Lewis (2001)
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Dr. Fab
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Dec 11, 2011
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Heston Price Using Alan Lewis' (2001) Volatility of Volatility Expansion Blazing Fast
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Dr. Fab
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Dec 11, 2011
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Heston Model -- Other
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Heston Call Price by Simulation
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Dr. Fab
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Jan 31, 2009
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Heston Model Parameter Estimation Using S&P500 Options
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Dr. Fab
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Jan 25, 2009
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Heston and Nandi (2000) Using the Trapezoidal Rule
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Dr. Fab
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Jan 24, 2009
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Heston and Nandi (2000) Parameter Estimation Using S&P500 Options
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Dr. Fab
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Feb 2, 2009
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Exotic Options
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Lattice for Floating Strike Lookback Option
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Dr. Fab
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Feb 1, 2009
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Average Price Asian Option
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Dr. Fab
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Feb 1, 2009
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Straddle Option Price
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Dr. Fab
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Feb 2, 2009
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Mathematical and Statistical Functions
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N(0,1) CDF by numerical integration and N(0,1) inverse values
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Dr. Fab
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Jan 24, 2009
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N(0,1) CDF approximation
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Daniel Boutrin
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Jan 31, 2010
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Matrix inversion, minors, and other operations
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Dr. Fab
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Jan 24, 2009
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Natural Cubic Spline Interpolation
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Dr. Fab
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Jan 24, 2009
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Nelder Mead minimization algorithm
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Dr. Fab
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Jan 24, 2009
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GARCH(1,1) Parameter Estimation Using S&P500
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Dr. Fab
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Jan 31, 2009
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RiskMetrics Volatility and Correlation
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Dr. Fab
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Feb 1, 2009
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Numerical Integration Algorithms
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Dr. Fab
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Feb 1, 2009
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Swaps
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Variance Swap Demeterfi, Derman, Kamal, and Zou (1999)
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Dr. Fab
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Feb 4, 2009
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