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