Bates Model
Calculate vanilla European option prices and sensitivities
using Bates model
Price and analyze vanilla option instruments using a Bates model.
Functions
optByBatesFFT | Option price by Bates model using FFT and FRFT |
optSensByBatesFFT | Option price and sensitivities by Bates model using FFT and FRFT |
optByBatesNI | Option price by Bates model using numerical integration |
optSensByBatesNI | Option price or sensitivities by Bates model using numerical integration |
optByBatesFD | Option price by Bates model using finite differences |
optSensByBatesFD | Option price and sensitivities by Bates model using finite differences |
Topics
- Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.