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