Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Option pricing (exotic/vanilla derivatives) based on an efficient and general Fourier transform pricing framework - the PROJ method (short for Frame Projection). The modules are organized by Pricing Method, then by Model, and then by Contract Type. Each contract has a run script, which starts with "Script_", e.g. "Script_BarrierOptions.m". Monte Carlo and other pricing libraries are also provided to support R&D.
Pricing methods supported:
Models supported:
Contract types supported (single underlying):
Contract types supported (multi underlying):
Acknowledgement: These pricing libraries have been built in collaboration with:
Supporting Research Articles:
I) Levy Models, Jump Diffusions, Black Scholes
II) Stochastic Volatility, Markov Chains, and Regime Switching
III) Stochastic Local Volatility (SABR, Quadratic SLV, etc)
IV) Time-Changed Processes
V) Multi-Dimensional Diffusions