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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.