Created with Wolfram Mathematica 8.0
Convolution Method on Option Pricing
Convolution methods on option pricing is becoming more and more important in recent years.
It can be used to evaluate various kinds of exotic options, it works well in all kinds of models whose characteristic function are known analytically,
and, since the fast Fourier transform is involved, it works really efficiently, especially when pricing discrete monitored exotic options.
I have been working on it for years.
Part of my works are shown below.
I have no plan to complete this nb file recently, since currently I am rewriting all the following programs in C.
Functions
Functions -- MyPlot, Intp, Ncdf
Functions -- Convolution
Asian
AsianGBM
Running for AsianGBM
AsianLevy
running for AsianLevy
Bermudan
BermudanGBM
Running
Barrier
Barrier -- DownOutGBM
running
Compound
Compound
running
Lookback
Lookback