Ecosyste.ms: Awesome
An open API service indexing awesome lists of open source software.
https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab
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
Last synced: 3 months ago
JSON representation
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
- Host: GitHub
- URL: https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab
- Owner: jkirkby3
- License: mit
- Created: 2017-11-17T12:51:28.000Z (about 7 years ago)
- Default Branch: master
- Last Pushed: 2023-06-26T23:51:02.000Z (over 1 year ago)
- Last Synced: 2023-11-07T20:10:11.269Z (about 1 year ago)
- 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
- Language: MATLAB
- Homepage:
- Size: 355 KB
- Stars: 125
- Watchers: 4
- Forks: 53
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
- trackawesomelist - PROJ\_Option\_Pricing\_Matlab (⭐171) - Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader (Recently Updated / [Oct 14, 2024](/content/2024/10/14/README.md))
- awesome-quant - PROJ_Option_Pricing_Matlab - Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader (Matlab / FrameWorks)
README
# 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
-
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform. SIAM J. Financial Math (2015)
- An Efficient Transform Method for Asian Option Pricing. SIAM J. Financial Math (2016)
- Static Hedging and Pricing of Exotic Options With Payoff Frames. Mathematical Finance (2018)
- American and Exotic Option Pricing with Jump Diffusions and Other Levy Processes. J. Computational Finance (2018)
- Robust Barrier Option Pricing by Frame Projection Under Exponential Levy Dynamics. Applied Mathematical Finance (2018)
- Robust option pricing with characteristic functions and the B-spline order of density projection, J. Compuational Finance (2017)
-
Valuing Equity-Linked Death Benefits in General Exponential Levy Models. J. Comput. and Appl. Math. (2019).
- Swing Option Pricing By Dynamic Programming with B-Spline Density Projection, IJTAF, Forthcoming (2020)
-
Frame and Fourier Methods for Exotic Option Pricing and Hedging. Georgia Institute of Technology (2016).
II) Stochastic Volatility, Markov Chains, and Regime Switching
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. European J. Operational Research (2017)
- A unified approach to Bermudan and Barrier options under stochastic volatility models with jumps. J. Econ. Dynamics and Control (2017)
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. Insurance: Mathematics and Economics (2017)
- Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing. IMA Volumes on Mathematics (2019)
- Full-Fledged SABR Through Markov Chains, Wilmott (2019)
III) Stochastic Local Volatility (SABR, Quadratic SLV, etc)
IV) Time-Changed Processes
V) Multi-Dimensional Diffusions