Price Using Finite Differences
Price options using Alternate Direction Implicit (ADI) and Crank-Nicolson finite differences methods
Functions
spreadbyfd |
Price European or American spread options using finite difference method |
spreadsensbyfd |
Calculate price and sensitivities of European or American spread options using finite difference method |
barrierbyfd |
Calculate barrier option prices using finite difference method |
barriersensbyfd |
Calculate barrier option prices or sensitivities using finite difference method |
dblbarrierbyfd |
Calculate double barrier option price using finite difference method |
dblbarriersensbyfd |
Calculate double barrier option price and sensitivities using finite difference method |
optstockbyfd |
Calculate vanilla option prices using finite difference method |
optstocksensbyfd |
Calculate vanilla option prices or sensitivities using finite difference method |
optByLocalVolFD |
Option price by local volatility model, using finite differences |
optSensByLocalVolFD |
Option price and sensitivities by local volatility model, using finite differences |
optByHestonFD |
Option price by Heston model using finite differences |
optSensByHestonFD |
Option price and sensitivities by Heston model using finite differences |
optByBatesFD |
Option price by Bates model using finite differences |
optSensByBatesFD |
Option price and sensitivities by Bates model using finite differences |
optByMertonFD |
Option price by Merton76 model using finite differences |
optSensByMertonFD |
Option price and sensitivities by Merton76 model using finite differences |
Examples and How To
- Pricing European and American Spread Options
This example shows how to price and calculate sensitivities for European and American spread options using various techniques.
Concepts
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.