matlab代码影响-levy-option-pricing:基于Levy随机过程的Matlab期权定价和校准方法的实现_随机过程证券资源-CSDN文库

共60个文件

m：37个

txt：17个

jpg：5个

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收起资源包目录

package

levy-option-pricing-master.zip （60个子文件）

folder

levy-option-pricing-master

folder

pricing

Pricer_BS.m 1KB

Pricer_FFT.m 3KB

CF_Pricer.m 1KB

Pricer_FRFT.m 3KB

Pricer_FT.m 2KB

Pricer_COS.m 4KB

Pricer_QGK.m 1KB

folder

images

pricing_error_vs_cos_n.jpg 159KB

pricing_error_for_parameter_set.jpg 193KB

pricing_error_vs_b-a.jpg 141KB

cputime_vs_n.jpg 154KB

pricing_error_vs_cputime.jpg 146KB

folder

calibration

folder

engines

Calibration_SQP.m 4KB

CalibrationEngine.m 1KB

folder

loss

LossFunction.m 655B

Loss_Quadratic.m 1KB

folder

data

txt2surface.m 2KB

plotOptionData.m 715B

plotCalibrationResult_Single.m 2KB

folder

examples

ComparePricingMethods.m 4KB

PlotCalibrationTargetFunctionCGMY.m 4KB

COSTruncationBoundDependence.m 6KB

folder

simulation_studies

SimulationStudy_SQP_BS.m 1KB

SimulationStudy_SQP_CGMY.m 2KB

PlotCalibrationTargetFunctionBS.m 2KB

folder

test

TestCalibrationEngine_SQP_BS.m 1KB

TestPricers_CGMY.m 2KB

TestPricers_BS.m 2KB

TestConvolutionFFT.m 773B

TestFFT.m 1KB

TestSQP.m 586B

TestCalibrationEngine_SQP_CGMY.m 1KB

TestFRFT.m 632B

TestCharacteristicFunctions.m 837B

README.md 10KB

folder

math

folder

interpolation

extractInterpolatedElements.m 2KB

folder

fourier_methods

FFT.m 1KB

DFT.m 870B

FRFT.m 1019B

folder

characteristic_functions

CF_CGMY.m 7KB

CharacteristicFunction.m 3KB

CF_BlackScholes.m 3KB

folder

optimisation

Optimiser_SQP.m 17KB

folder

data

folder

EuroSTOXX

folder

20160324

EuroSTOXX_Call_202012.txt 5KB

EuroSTOXX_Call_201706.txt 7KB

EuroSTOXX_Call_202512.txt 2KB

EuroSTOXX_Call_201605.txt 12KB

EuroSTOXX_Call_202412.txt 2KB

EuroSTOXX_Call_201609.txt 9KB

EuroSTOXX_Call_201712.txt 8KB

EuroSTOXX_Call_202212.txt 3KB

EuroSTOXX_Call_201606.txt 12KB

EuroSTOXX_Call_201612.txt 9KB

EuroSTOXX_Call_201912.txt 5KB

EuroSTOXX_Call_201812.txt 7KB

EuroSTOXX_Call_201703.txt 6KB

EuroSTOXX_Call_202112.txt 4KB

EuroSTOXX_Call_201806.txt 4KB

EuroSTOXX_Call_202312.txt 3KB

EuroSTOXX_Call_201604.txt 9KB

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