{"id":17082287,"url":"https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab","last_synced_at":"2026-05-21T12:30:17.490Z","repository":{"id":60274147,"uuid":"111103092","full_name":"jkirkby3/PROJ_Option_Pricing_Matlab","owner":"jkirkby3","description":"Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader","archived":false,"fork":false,"pushed_at":"2024-11-19T15:08:37.000Z","size":390,"stargazers_count":174,"open_issues_count":0,"forks_count":65,"subscribers_count":6,"default_branch":"master","last_synced_at":"2024-11-19T15:31:47.051Z","etag":null,"topics":["american-options","asian-option","barrier-option","bermudan-option","black-scholes","derivatives","european-options","fourier-transform","heston-model","jump-diffusion","levy-processes","lookback-option","monte-carlo","option-pricing","options","quant-finance","quantitative-finance","sabr","stochastic-volatility-models","variance-swap"],"latest_commit_sha":null,"homepage":"","language":"MATLAB","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/jkirkby3.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2017-11-17T12:51:28.000Z","updated_at":"2024-11-19T15:09:00.000Z","dependencies_parsed_at":"2024-10-14T13:01:23.345Z","dependency_job_id":"a9a73bf3-fa21-478e-b574-86553150d6a8","html_url":"https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/jkirkby3%2FPROJ_Option_Pricing_Matlab","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/jkirkby3%2FPROJ_Option_Pricing_Matlab/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/jkirkby3%2FPROJ_Option_Pricing_Matlab/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/jkirkby3%2FPROJ_Option_Pricing_Matlab/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/jkirkby3","download_url":"https://codeload.github.com/jkirkby3/PROJ_Option_Pricing_Matlab/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":240131743,"owners_count":19752725,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["american-options","asian-option","barrier-option","bermudan-option","black-scholes","derivatives","european-options","fourier-transform","heston-model","jump-diffusion","levy-processes","lookback-option","monte-carlo","option-pricing","options","quant-finance","quantitative-finance","sabr","stochastic-volatility-models","variance-swap"],"created_at":"2024-10-14T13:00:24.458Z","updated_at":"2026-05-21T12:30:17.375Z","avatar_url":"https://github.com/jkirkby3.png","language":"MATLAB","funding_links":[],"categories":["Recently Updated","Matlab"],"sub_categories":["[Oct 14, 2024](/content/2024/10/14/README.md)","FrameWorks"],"readme":"# Option Pricing PROJ Method (Exotic/Vanilla Options)\nOption 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\". \nMonte Carlo and other pricing libraries are also provided to support R\u0026D.\n\n\u003cb\u003ePricing methods supported:\u003c/b\u003e\n\u003cul\u003e\n  \u003cli\u003e PROJ (General Purpose Fourier Method) \u003c/li\u003e\n  \u003cli\u003e CTMC Approximation \u003c/li\u003e\n  \u003cli\u003e Monte Carlo \u003c/li\u003e\n  \u003cli\u003e Analytical \u003c/li\u003e\n  \u003cli\u003e Fourier (PROJ, Carr-Madan, CONV, Lewis, COS, Mellin Transform, Hilbert Transform) \u003c/li\u003e\n  \u003cli\u003e PDE/Finite Difference \u003c/li\u003e\n  \u003cli\u003e Lattice/Tree \u003c/li\u003e\n\u003c/ul\u003e  \n  \n\u003cb\u003eModels supported:\u003c/b\u003e\n\u003cul\u003e\n  \u003cli\u003e Diffusions (Black-Scholes-Merton) \u003c/li\u003e\n  \u003cli\u003e Multi-Dimensional Diffusions (Black-Scholes Multi-Asset) \u003c/li\u003e\n  \u003cli\u003e Jump Diffusions (Merton Jump, Kou double exponential, Mixed-Normal)  \u003c/li\u003e\n  \u003cli\u003e General Levy processes (CGMY/KoBoL, Normal-Inverse-Gaussian (NIG), Variance Gamma, Meixner, FMLS, TS, Bilateral Gamma) \u003c/li\u003e\n  \u003cli\u003e SABR \u003c/li\u003e\n  \u003cli\u003e Stochastic Local Volatility (SLV) \u003c/li\u003e\n  \u003cli\u003e Regime switching jump diffusions \u003c/li\u003e\n  \u003cli\u003e Time-changed processes \u003c/li\u003e\n  \u003cli\u003e Stochastic Volatility (Heston, Hull-White, 4/2, 3/2, alpha-hypergeometric, Jacobi, Schobel-Zhu, Stein-Stein, Scott, tau/2)   \u003c/li\u003e\n  \u003cli\u003e Stochastic Volatility With Jumps (e.g. Bates, HKDE) \u003c/li\u003e\n\u003c/ul\u003e\n\n\u003cb\u003eContract types supported (single underlying):\u003c/b\u003e\n\u003cul\u003e\n  \u003cli\u003e European Options \u003c/li\u003e\n  \u003cli\u003e Barrier Options (Single/Double barrier, and rebates) \u003c/li\u003e\n  \u003cli\u003e Return Barrier Options \u003c/li\u003e\n  \u003cli\u003e Asian Options (Discrete/Continuous)\u003c/li\u003e\n  \u003cli\u003e Discrete Variance Swaps, Variance/Volatility Options \u003c/li\u003e\n  \u003cli\u003e Bermudan/American early-exercise Options \u003c/li\u003e\n  \u003cli\u003e Parisian Options (Cumulative and resetting Parisian barrier options) \u003c/li\u003e\n  \u003cli\u003e Cliquets/Equity Indexed Annuities (Additive/Multiplicative)\u003c/li\u003e\n  \u003cli\u003e Equity Linked Death Benefits / Guaranteed Minimum Death Benefits (GMDB) \u003c/li\u003e\n  \u003cli\u003e Forward Starting Options \u003c/li\u003e\n  \u003cli\u003e Step (Soft Barrier) Options \u003c/li\u003e\n  \u003cli\u003e Lookback/Hindsight Options \u003c/li\u003e\n  \u003cli\u003e Credit default swaps / default probabilities \u003c/li\u003e\n  \u003cli\u003e Swing Options (Fixed Rights, Linear Recovery \u0026 Constant Recovery) \u003c/li\u003e\n  \u003cli\u003e Fader/Range-Accrual Options  \u003c/li\u003e\n  \u003cli\u003e Multi-Dimensional Payoffs, European/Bermudan/Barrier (Spread, Exchange, Best/Worst-of, Basket) \u003c/li\u003e\n  \u003cli\u003e Risk Measures suchs as Expected Shortfall and VaR computations \u003c/li\u003e\n \u003c/ul\u003e\n\n\u003cb\u003eContract types supported (multi underlying):\u003c/b\u003e\n\u003cul\u003e\n  \u003cli\u003e European / Barrier / Bermudan Options \u003c/li\u003e\n  \u003cli\u003e Spread, Exchange, Best-of, Worst-of, Basket (Geometric/Arthmetic) \u003c/li\u003e\n\u003c/ul\u003e\n\n\u003cb\u003eAcknowledgement:\u003c/b\u003e\nThese pricing libraries have been built in collaboration with:\n\u003cul\u003e\n  \u003cli\u003e\u003ca href=\"https://www.researchgate.net/profile/Justin_Kirkby\"\u003e Justin Lars Kirkby \u003c/a\u003e \u003c/li\u003e\n  \u003cli\u003e\u003ca href=\"https://www.researchgate.net/profile/Duy_Nguyen125\"\u003eDuy Nguyen \u003c/a\u003e \u003c/li\u003e\n  \u003cli\u003e\u003ca href=\"https://www.researchgate.net/profile/Zhenyu_Cui\"\u003e Zhenyu Cui \u003c/a\u003e \u003c/li\u003e\n  \u003cli\u003e\u003ca href=\"https://www.researchgate.net/profile/Zhimin_Zhang3\"\u003e Zhimin Zhang \u003c/a\u003e \u003c/li\u003e\n  \u003cli\u003e\u003ca href=\"https://www.researchgate.net/profile/Shi-jie_Deng\"\u003e Shijie Deng \u003c/a\u003e \u003c/li\u003e\n  \u003cli\u003e\u003ca href=\"https://www.researchgate.net/profile/Jean_Philippe_Aguilar\"\u003e Jean-Philippe Aguilar \u003c/a\u003e \u003c/li\u003e\n\u003c/ul\u003e\n\n\u003cb\u003e Supporting Research Articles: \u003c/b\u003e\n\n\u003cb\u003e I) Levy Models, Jump Diffusions, Black Scholes \u003c/b\u003e\n\u003cul\u003e\n  \u003cli\u003e \n    \u003ca href=\"https://www.researchgate.net/publication/271529024_Efficient_Option_Pricing_by_Frame_Duality_with_the_Fast_Fourier_Transform\"\u003e Efficient Option Pricing by Frame Duality with the Fast Fourier Transform. SIAM J. Financial Math (2015)\u003c/a\u003e\n  \u003c/li\u003e\n  \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/290607662_An_Efficient_Transform_Method_for_Asian_Option_Pricing\"\u003eAn Efficient Transform Method for Asian Option Pricing. SIAM J. Financial Math (2016) \u003c/a\u003e \n  \u003c/li\u003e\n  \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/271529064_Static_Hedging_and_Pricing_of_Exotic_Options_With_Payoff_Frames\"\u003e Static Hedging and Pricing of Exotic Options With Payoff Frames. Mathematical Finance (2018) \u003c/a\u003e\n  \u003c/li\u003e\n  \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/320720280_American_and_Exotic_Option_Pricing_with_Jump_Diffusions_and_Other_Levy_Processes\"\u003e American and Exotic Option Pricing with Jump Diffusions and Other Levy Processes. J. Computational Finance (2018) \u003c/a\u003e\n  \u003c/li\u003e\n  \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/271529039_Robust_Barrier_Option_Pricing_by_Frame_Projection_Under_Exponential_Levy_Dynamics\"\u003e Robust Barrier Option Pricing by Frame Projection Under Exponential Levy Dynamics. Applied Mathematical Finance (2018) \u003c/a\u003e \n  \u003c/li\u003e\n  \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/320264970_Robust_option_pricing_with_characteristic_functions_and_the_B-spline_order_of_density_projection\"\u003e Robust option pricing with characteristic functions and the B-spline order of density projection, J. Compuational Finance (2017) \u003c/a\u003e \n  \u003c/li\u003e\n  \u003cli\u003e\n    \u003ca href=\"https://www.researchgate.net/publication/334822473_Valuing_equity-linked_death_benefits_in_general_exponential_Levy_models\"\u003e Valuing Equity-Linked Death Benefits in General Exponential Levy Models. J. Comput. and Appl. Math. (2019). \u003c/a\u003e\n  \u003c/li\u003e\n  \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/336281657_Swing_Option_Pricing_by_Dynamic_Programming_with_B-Spline_Density_Projection\"\u003e Swing Option Pricing By Dynamic Programming with B-Spline Density Projection, IJTAF, Forthcoming (2020)\u003c/a\u003e \n  \u003c/li\u003e\n    \u003cli\u003e\n    \u003ca href=\"https://smartech.gatech.edu/bitstream/handle/1853/59138/KIRKBY-DISSERTATION-2016.pdf\"\u003e Frame and Fourier Methods for Exotic Option Pricing and Hedging. Georgia Institute of Technology (2016). \u003c/a\u003e\n  \u003c/li\u003e\n\u003c/ul\u003e\n\n\u003cb\u003e II) Stochastic Volatility, Markov Chains, and Regime Switching \u003c/b\u003e\n\u003cul\u003e\n    \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/315888055_A_general_framework_for_discretely_sampled_realized_variance_derivatives_in_stochastic_volatility_models_with_jumps\"\u003eA general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. European J. Operational Research (2017) \u003c/a\u003e \n  \u003c/li\u003e\n    \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/317056519_A_unified_approach_to_Bermudan_and_Barrier_options_under_stochastic_volatility_models_with_jumps\"\u003e A unified approach to Bermudan and Barrier options under stochastic volatility models with jumps. J. Econ. Dynamics and Control (2017)\u003c/a\u003e \n  \u003c/li\u003e\n    \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/314260670_Equity-linked_annuity_pricing_with_cliquet-style_guarantees_in_regime-switching_and_stochastic_volatility_models_with_jumps\"\u003e Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. Insurance: Mathematics and Economics (2017)\u003c/a\u003e \n  \u003c/li\u003e\n    \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/330401656_Continuous-Time_Markov_Chain_and_Regime_Switching_Approximations_with_Applications_to_Options_Pricing\"\u003e Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing. IMA Volumes on Mathematics (2019)\u003c/a\u003e \n  \u003c/li\u003e\n    \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/334716223_Full-fledged_SABR_Through_Markov_Chains?_sg=wav6ifhPa8HmCsvRzHVqYYPU2VHZKMTyP-1ZX_eeuqYZz5cpfKqZ0OCTODC9Ci1aY8j99amKGjbwZnaf1q1k2cTmLdIfxamtOAx_pXs8.W0biWEvGq-ILKu2DgzAI35-BBXMZp3bN1jBLDKKfSg_FgFd9ci8xXqXQIKbA5UoPE6sUA9GrpH8ByrP8-Xx1aA\"\u003e Full-Fledged SABR Through Markov Chains, Wilmott (2019) \u003c/a\u003e \n  \u003c/li\u003e\n\u003c/ul\u003e\n\n\u003cb\u003e III) Stochastic Local Volatility (SABR, Quadratic SLV, etc) \u003c/b\u003e\n\u003cul\u003e\n  \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/324731726_A_General_Valuation_Framework_for_SABR_and_Stochastic_Local_Volatility_Models\"\u003e A General Valuation Framework for SABR and Stochastic Local Volatility Models. SIAM J. Financial Mathematics (2018) \u003c/a\u003e \n  \u003c/li\u003e\n\u003c/ul\u003e\n\n\u003cb\u003e IV) Time-Changed Processes\u003c/b\u003e\n\u003cul\u003e\n    \u003cli\u003e \u003ca href=\"https://www.researchgate.net/publication/327411363_A_General_Framework_for_Time-Changed_Markov_Processes_and_Applications\"\u003e A General Framework for Time-Changed Markov Processes and Applications. European J. Operational Research (2018) \u003c/a\u003e \n  \u003c/li\u003e\n\u003c/ul\u003e\n\n\u003cb\u003e V) Multi-Dimensional Diffusions \u003c/b\u003e\n\u003cul\u003e\n  \u003cli\u003e  \u003ca href=\"https://www.researchgate.net/publication/342174203_A_general_continuous_time_Markov_chain_approximation_for_multi-asset_option_pricing_with_systems_of_correlated_diffusions\"\u003e A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (2020) \u003c/a\u003e \n  \u003c/li\u003e\n\u003c/ul\u003e\n\n\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fjkirkby3%2FPROJ_Option_Pricing_Matlab","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fjkirkby3%2FPROJ_Option_Pricing_Matlab","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fjkirkby3%2FPROJ_Option_Pricing_Matlab/lists"}