Main Content

Option price and sensitivities by Bates model using finite differences

`[`

computes a vanilla European or American option price and sensitivities by the Bates model,
using the alternating direction implicit (ADI) method.`PriceSens`

,`PriceGrid`

,`AssetPrices`

,`Variances`

,`Times`

] = optSensByBatesFD(`Rate`

,`AssetPrice`

,`Settle`

,`ExerciseDates`

,`OptSpec`

,`Strike`

,`V0`

,`ThetaV`

,`Kappa`

,`SigmaV`

,`RhoSV`

,`MeanJ`

,`JumpVol`

,`JumpFreq`

)

`[`

specifies options using one or more name-value pair arguments in addition to the input
arguments in the previous syntax. `PriceSens`

,`PriceGrid`

,`AssetPrices`

,`Variances`

,`Times`

] = optSensByBatesFD(___,`Name,Value`

)

[1] Bates, D. S. "Jumps and Stochastic
Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options." *The Review
of Financial Studies.* Vol. 9, Number 1, 1996.

`optByBatesFD`

| `optByHestonFD`

| `optByLocalVolFD`

| `optByMertonFD`

| `optSensByHestonFD`

| `optSensByLocalVolFD`

| `optSensByMertonFD`