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These are a set of lambda functions for pricing options when assets follow an extended CGMY process with stochastic time clock correlated with the diffusion portion of the asset process. See http://engineering.nyu.edu/files/jfetchgepaper.pdf and https://pdfs.semanticscholar.org/67cd/b553e2624c79a960ff79d0dfe6e6833690a7.pdf.
- Fang-Oosterlee algorithm for call POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/v1/dev/call/fangoost
- Fang-Oosterlee algorithm for put POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/v1/dev/put/fangoost
- Carr-Madan algorithm for put POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v1/put/carrmadan
- Carr-Madan algorithm for call POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v1/call/carrmadan
- FSTS algorithm for put POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v1/put/fsts
- FSTS algorithm for call POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v1/call/fsts
- VaR and ES for the CGMY process POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v1/density/var
- Density for the CGMY process POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v1/density/raw
- Calibration for call prices POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v1/call/calibration
These are a set of lambda functions for pricing options when assets follow an extended Merton Jump Diffusion process with stochastic time clock correlated with the diffusion portion of the asset process.
- Fang-Oosterlee algorithm for call POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/v2/dev/call/fangoost
- Fang-Oosterlee algorithm for put POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/v2/dev/put/fangoost
- Carr-Madan algorithm for put POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v2/put/carrmadan
- Carr-Madan algorithm for call POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v2/call/carrmadan
- FSTS algorithm for put POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v2/put/fsts
- FSTS algorithm for call POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v2/call/fsts
- VaR and ES for the CGMY process POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v2/density/var
- Density for the CGMY process POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v2/density/raw
- Calibration for call prices POST - https://74ekexhct2.execute-api.us-east-1.amazonaws.com/dev/v2/call/calibration
The tests folder contains unit and integration tests. Run after ./compileAndPackage
and npm install
. Uses Jest for integration tests and lambda unit tests. Run with npm test
.
The lambda functions are defined in the lambda folder.
The C++ code is in the src folder.
There is a mock server which can be used to simulate calls to the lambda functions. To run the mock server, type npm run devServer
. This will start the mock server on port 3001.