Price Using Finite Differences
Price options using Alternate Direction Implicit (ADI) and
Crank-Nicolson finite differences methods
Price equity option instruments 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 |
Topics
- Hedging Strategies Using Spread Options
This example shows different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.
- Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion
This example shows how to simulate electricity prices using a mean-reverting model with seasonality and a jump component.
- Supported Energy Derivative Functions
Energy derivative functions supported by Financial Instruments Toolbox™.