FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
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This is material from the book
Financial Modelling: Theory, Implementation and Practice with Matlab source from Joerg Kienitz and Daniel Wetterau, WILEY, September 2012
Pricing Call Options for advanced financial models using FFT and the Carr-Madan or the Lewis Method. We cover:
Diffusion:
Bachelier, Black-Scholes, CEV, Displaced Diffusion, Hull-White
Stochastic Volatility:
Heston, SABR, Displaced Diffusion Heston, Heston-Hull-White
Jump-Diffusion:
Merton, Bates, Bates-Hull-White
Levy:
Variance Gamma, Normal Inverse Gaussian
Levy+Stochastic Volatility:
Gamma Ornstein-Uhlenbeck and CIR clock
Cite As
Kienitz Wetterau FinModelling (2026). FinancialModelling_Ch2_ImpliedVolatility (https://in.mathworks.com/matlabcentral/fileexchange/36563-financialmodelling_ch2_impliedvolatility), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (42.6 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
