An equity derivative is a contract whose value is at least partly derived from one or more underlying equity, FX, commodity, or energy securities. This toolbox provides functionality to price, compute sensitivity and hedging analysis to many equity securities. You can price vanilla, asian, lookback, barrier, and spread options with pricing models that include lattice models, Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.
The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, seeGet Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
Create an equity, foreign exchange (FX), or commodity instrument object usingfininstrument
, then associate a model usingfinmodel
, and then specify a pricing method usingfinpricer
.
Price Spread Instrument for a Commodity Using Black-Scholes Model and Analytic Pricers
This example shows the workflow to price a commoditySpread
instrument when you use aBlackScholes
model andKirk
andBjerksundStensland
analytic pricing methods.
Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers
This example shows how to compare EuropeanVanilla
instrument call option prices using aBlackScholes
model and different pricing methods.
Use Black-Scholes Model to Price Asian Options with Several Equity Pricers
This example shows how to compare arithmetic and geometric Asian option prices using theBlackScholes
模型和各种pricing methods.
Hedging an Option Using Reinforcement Learning Toolbox
This example shows how to learn an optimal option hedging policy and outperform the traditional BSM approach using Reinforcement Learning Toolbox™ .
Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments
Use objects to model and price financial instruments.
Choose Instruments, Models, and Pricers
Select instruments, associated models, and associated pricers.
The following table lists the interest-rate instrument objects with their associated models and pricers and supportedExercise
styles.
映射函数tions to a workflow using objects for instruments, models, and pricers.