Introducing StocVol.com.
A web resource created by Martin Forde, a research fellow in the Dept of Mathematics at Dublin City University. He previously worked as a visiting Assistant Professor at the University of California at Santa Barbara, and before that as a quant in interest rate derivatives at Commerzbank and in FX options at Dresdner and HSBC.
StocVol.com provides Mathematica notebooks to price put and call options under stochastic volatility models using exact pricing methods or results on small-time, large-time and tail asymptotics.
The StocVol smile toolpack:
A toolpack of easy-to-use Mathematica notebooks to compute put/call option prices and implied volatility for the following models:
- SABR
model: small-time, large-time, and exact pricing for rho=0;
- Modified
SABR model: large-time and exact pricing;
- CEV model: small-time,
large-time and exact pricing;
- Heston
model: small-time, large-time large-strike and large-time fixed-strike
regimes, and tail asymptotics;
- Exponential
Lévy model: small-time, large-time, tail asymptotics and
exact pricing.
The StocVol smile toolpack numerically implements all the results and plots appearing on the Formula Sheet (updated with CGMY large-time leading order smile and correction term). Code is visible and editable, just hit shift+enter to run, no previous knowledge of Mathematica required.
Download ExponentialLevySmallTime.nb
demo file.
Download trial version of Mathematica.
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