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Search results for matlab stochastic volatility models

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Proj_option_pricing_matlab ⭐ 115

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Pmh Tutorial ⭐ 15

Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

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