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Bates Model

Calculate vanilla European option prices and sensitivities using Bates model

Functions

optByBatesFFTOption price by Bates model using FFT and FRFT
optSensByBatesFFTOption price and sensitivities by Bates model using FFT and FRFT
optByBatesNIOption price by Bates model using numerical integration
optSensByBatesNIOption price or sensitivities by Bates model using numerical integration
optByBatesFDOption price by Bates model using finite differences
optSensByBatesFDOption 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.