Matlab Code

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Date Posted

Equity Options



Cox, Ross, Rubinstein binomial tree for European and American options

Anon

Jan 24, 2009

LightningFast BlackScholes Using Inline Functions

Anon

Dec 29, 2010

BlackScholes Simulation Using Euler and Milstein Discretizations

Anon

Dec 29, 2010

BlackScholes Simulation Using Antithetic Variance Reduction

Anon

Dec 29, 2010

BlackScholes Call Price Using the Characteristic Function in Lewis and Lipton

Anon

Aug 1, 2011

BlackScholes Call Price Using the Characteristic Function HestonLike 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

BlackScholes Using the Fast Fourier Transform (FFT) Blazing Fast

Anon

June 13, 2011

BlackScholes 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 CrankNicolson, Clewlow & Strickland Example 3.17

Anon

Dec 28, 2010

American Options using CrankNicolson, Clewlow & Strickland Explanation

Anon

Dec 28, 2010

BaroneAdesi & Whaley Quadratic Approximation for American Options

Anon

Dec 30, 2010

JuZhong Approximation for American Options

Anon

Nov 17, 2010

LongstaffSchwartz algorithm for American calls or puts under BlackScholes

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 BlackScholes

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 & BrothertonRatcliffe

Anon

June 24, 2013

DermanKaniChriss 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

NadarayaWatson Estimator, DJIA and Other Example

Anon

July 8, 2013

Arbitragefree 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 BrothertonRatcliffe

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

BlackKarasinski Trinomial Tree, Clewlow & Strickland Figure 9.12

Anon

Feb 1, 2011

BlackDermanToy Binomial Tree Fitted to Yields, Showing Recovery of ZCB Prices

Anon

Feb 2, 2011

BlackDermanToy Binomial Tree Fitted to Yields, Clewlow & Strickland Figure 8.4

Anon

Feb 2, 2011

BlackDermanToy Bin Tree Fitted to Yields, ZCB options, Clewlow & Strickland, Fig 8.9

Anon

Feb 3, 2011

BlackDermanToy Bin Tree Fitted to Yields and Vols, Clewlow & Strickland Fig 8.6

Anon

Feb 2, 2011

BlackDermanToy 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





