开源软件名称(OpenSource Name): jkirkby3/PROJ_Option_Pricing_Matlab开源软件地址(OpenSource Url): https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab开源编程语言(OpenSource Language):
MATLAB
100.0%
开源软件介绍(OpenSource Introduction): Option Pricing PROJ Method (Exotic/Vanilla Options)
Option pricing (exotic/vanilla derivatives) based on an efficient and general Fourier transform pricing framework - the PROJ method (short for Frame Projection). The modules are organized by Pricing Method, then by Model, and then by Contract Type. Each contract has a run script, which starts with "Script_", e.g. "Script_BarrierOptions.m".
Monte Carlo and other pricing libraries are also provided to support R&D.
Pricing methods supported:
PROJ (General Purpose Fourier Method)
CTMC Approximation
Monte Carlo
Analytical
Fourier (PROJ, Carr-Madan, CONV, Lewis, COS, Mellin Transform, Hilbert Transform)
PDE/Finite Difference
Lattice/Tree
Models supported:
Diffusions (Black-Scholes-Merton)
Multi-Dimensional Diffusions (Black-Scholes Multi-Asset)
Jump Diffusions (Merton Jump, Kou double exponential, Mixed-Normal)
General Levy processes (CGMY/KoBoL, Normal-Inverse-Gaussian (NIG), Variance Gamma, Meixner, FMLS, TS, Bilateral Gamma)
SABR
Stochastic Local Volatility (SLV)
Regime switching jump diffusions
Time-changed processes
Stochastic Volatility (Heston/Bates, Hull-White, 4/2, 3/2, alpha-hypergeometric, Jacobi, Schobel-Zhu, Stein-Stein, Scott, tau/2)
Contract types supported (single underlying):
European Options
Barrier Options (Single/Double barrier, and rebates)
Asian Options (Discrete/Continuous)
Discrete Variance Swaps, Variance/Volatility Options
Bermudan/American early-exercise Options
Parisian Options (Cumulative and resetting Parisian barrier options)
Cliquets/Equity Indexed Annuities (Additive/Multiplicative)
Equity Linked Death Benefits / Guaranteed Minimum Death Benefits (GMDB)
Forward Starting Options
Step (Soft Barrier) Options
Lookback/Hindsight Options
Credit default swaps / default probabilities
Swing Options (Fixed Rights, Linear Recovery & Constant Recovery)
Fader/Range-Accrual Options
Multi-Dimensional Payoffs, European/Bermudan/Barrier (Spread, Exchange, Best/Worst-of, Basket)
Risk Measures suchs as Expected Shortfall and VaR computations
Contract types supported (multi underlying):
European / Barrier / Bermudan Options
Spread, Exchange, Best-of, Worst-of, Basket (Geometric/Arthmetic)
Acknowledgement:
These pricing libraries have been built in collaboration with:
Supporting Research Articles:
I) Levy Models, Jump Diffusions, Black Scholes
II) Stochastic Volatility, Markov Chains, and Regime Switching
III) Stochastic Local Volatility (SABR, Quadratic SLV, etc)
IV) Time-Changed Processes
V) Multi-Dimensional Diffusions
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