This repository contains the Matlab code used for a Master Thesis with the following title The Convolution Method for Pricing American Options under Lévy Processes.
Implementation of a fast and accurate FFT-based method for pricing options with early-exercise features. The thesis demonstrated the method’s flexibility with respect to the choice of asset price process and the type of option contract. This feature was evidenced through numerical simulations using European, Bermudan, and American-style options and five Lévy-driven processes, namely, GBM, VG, CGMY, Merton and Kou's jump diffusion.
More information relating this thesis can be found here.