Computer code

  • This Mathematica notebook is an online supplement to my paper “Valuation of asset and volatility-dependent derivatives using decoupled time-changed Lévy processes” showing values for a target volatility option under different models
  • This is a .nb file implementing computations for exotic joint asset and realized volatility derivatives introduced in “Pricing joint claims on an asset and its realized variance under stochastic volatility models”
  • Here is (very a naive) MATLAB .m file generating asset price paths for the Fang model