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Oct 27

Fourier Space Time-stepping (FST) option calculator

Posted by abiao at 21:03 | Code » Net | Comments(0) | Reads(8711)
Online Fourier Space Time-stepping (FST) option calculator where options class includes European, American, Barrier, Shout and Spread option; underlying stock process follows Black Scholes Merton, Merton Jump Diffusion, Kou Jump Diffusion, Variance Gamma, Normal Inverse Gaussian and CGMY.

For more information on the Fourier Space Time-stepping (FST) method, stock price models and options refer to the papers below at the site


    * Option Pricing with Regime Switching Levy Processes Using Fourier Space Time-stepping
    * Fourier Space Time-stepping for Option Pricing with Levy Models.

Related Matlab codes can also be downloaded at http://www.cs.toronto.edu/~vsurkov/fst_matlab.html

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