Appendix of the pdf file contains code to price american option in variance gamma model using FD scheme

Filippo Fiorani

keywords : PIDE, FDM

ASA technique was developed by Lester Ingber to facilitate calculation of global minima for a nonlinear function. For more detailed information about the algorithm and it's usage, please refer to the author's Author's website

One important application is calibration of heston model, because the parameters are correlated and other numerical optimization methods tend to provide solution which is more sensitive to selection of initial parameter values.
This project implements calibration of Heston models using Adaptive simulated annealing.
To run this project,do the following
1.unzip the attached download file and extract the testheston project folder
2.download project files from file http://downloads.sourceforge.net/asa-caltech/ASA-26.33.zip?modtime=1230643798&big_mirror=0. Place the file asa.h and asa.c in the testheston->testheston folder.
3.Open project
testheston.sln in Visual C++ 2005 express
4.Do a build all.
5.Select run
6.The results of calibration are in file asa_out.

To play around with ASA optimization, make changes to initial parameters and other settings in asa_opt file

Best C++ open source library available on the internet. For contents or coverage of codebase check here

Open source C++ library covers lot of stuff like optimization, MLE, GARCH

Author : Bjørn Augestad.

From website:

The downloadable .tar file has a nice collection of C code equivalent to VBA code as mentioned in the book below:

The Meta Options library is a collection of option formulas, based on the formulas found in Espen Gaarder Haugs book "The Complete Guide to Option Pricing Formulas".

The formulas are written in ISO C99 to be able to utilize new features like inline functions, more math functions and macros like isfinite().