Option pricing in Variance Gamms model by Fourier Integration [Octave Excel]

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Option pricing in Variance Gamms model by Fourier Integration
Submitter: vanna	Date: 2007/3/31

Description: Finds option price using integration of inverse fourier transform of fourier transform function of modified call option price as described in Carr,Madan,et al papers Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
889 0 bytes Octave Excel http://quantcode.com/
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VG option price using FFT
Submitter: vanna	Date: 2006/9/2

Description: Finds call option price in VG model using FFT as described in Carr, Madan Et al papers Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1439 0 bytes Octave Matlab http://quantcode.com/
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Bjerksund Stensland Approximation for American Option
Submitter: vanna	Date: 2006/9/2

Description: Based on paper CLOSED FORM VALUATION OF AMERICAN OPTIONS Calculates American option price lower bound eg. usage : BjerkPrice(CallPutFlag,S,K,r,dividend,sigma,T) Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1642 0 bytes Octave Matlab http://quantcode.com/
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Aggregation of Correlation risk
Submitter: vanna	Date: 2006/9/2

Description: Based on paper Aggregation of Correlated Risk Portfolios : Models & Algorithms Calculates aggregate loss distribution for correlated portfolios as mentioned in the text, and obtains statistics of distribution Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1408 0 bytes Octave Matlab http://quantcode.com/
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Trading using SVM
Submitter: vanna	Date: 2006/9/2

Description: This program uses Support Vector Machine package LS-SVMLAB to evaluate 2 trading strategies: 1.Buy/Sell stock if prediction direction is up/down. 2.Make bets on direction of prediction. Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1440 0 bytes Octave Matlab http://quantcode.com/
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