The RAnD Method for randomizing of Affine Diffusion processes. The Python and MATLAB codes to generate randomized Characteristic Functions are provided.
The codes are based on the article
"On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500".
by Lech A. Grzelak, L.A.Grzelak@uu.nl
You are free to use the codes for non-commercial purposes.
@article{grzelakRAnD,
title = {On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500},
journal = {Applied Mathematics and Computation},
volume = {508},
pages = {129598},
year = {2026},
issn = {0096-3003},
doi = {https://doi.org/10.1016/j.amc.2025.129598},\
url = {https://www.sciencedirect.com/science/article/pii/S0096300325003248},\
author = {Lech A. Grzelak},
}
Enjoy the content!