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Jul 25

Archive of Finance & Econometrics GAUSS & Matlab Code

Posted by abiao at 17:36 | Code » Code site | Comments(0) | Reads(8942)
Procedures and necessary declaration files to calculate fitted option prices using Fourier Inversion methods as in Bates (RFS 1996). This allows for a variety of possible risk neutral diffusions which can accommodate stochastic volatility, jumps, as well as correlation between the volatility process and underlying asset.

more at http://www.cameronrookley.com/gtoml/archive.html

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